NPORT-P false 0000810893 XXXXXXXX S000032698 C000100916 C000100920 C000100919 PIMCO Funds 811-05028 0000810893 5493003B5Y5GR0Y25Y76 650 Newport Center Drive Newport Beach 92660 (888) 877-4626 PIMCO RAE PLUS International Fund S000032698 FRE2ROMRMC2BDS43QJ31 2026-03-31 2025-12-31 N 429093264.340000 277938159.360000 151155104.980000 0.000000 0.000000 28718680.250000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 6100138.610000 CLP MXN AUD PEN GBP JPY USD EUR EGP COP ZAR TRY PLN CZK BRL N MSCI EAFE Value Total Return Index M1EA000V N/A N/A 000000000 1800000.000000 NC USD 129044.160000 0.085372 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.11000 08/25/27-30Y LCH 2057-08-25 0.000000 USD 0.000000 USD N/A USD N/A 4.110000 USD 2027-08-23 XXXX -16215.840000 N N N N/A N/A 000000000 1.000000 NC USD -439554.440000 -0.290797 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2055-09-17 0.000000 USD -326663.760000 USD 3810000.000000 USD -112890.680000 N N N N/A N/A 000000000 13800000.000000 NC USD 8601.540000 0.0056905 N/A DIR US N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Put Purchased WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.75050 10/16/26-1Y LCH 2027-10-16 0.000000 USD 0.000000 USD N/A USD N/A 3.750000 USD 2026-10-14 XXXX -3680.460000 N N N N/A N/A 000000000 1.000000 NC 340.210000 0.0002251 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 400000.000000 BRL 71836.930000 USD 2026-04-02 340.210000 N N N N/A N/A 000000000 400000.000000 NC USD 383.280000 0.0002536 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.19400 03/06/26-7Y LCH 2033-03-06 0.000000 USD 0.000000 USD N/A USD N/A 3.190000 USD 2026-03-04 XXXX -926.720000 N N N N/A N/A 000000000 1.000000 NC 313.550000 0.0002074 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 21661.810000 USD 985569.030000 TRY 2026-03-04 313.550000 N N N BEAR STEARNS ADJ RATE MTGE TR 2006-1 N/A 07387AGZ2 4881.360000 PA USD 4736.450000 0.0031335 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.95 N N N N N N N/A N/A 000000000 1.000000 NC USD 24324.550000 0.0160924 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2026-09-30 0.000000 USD 0.000000 USD 7700000.000000 USD 24324.550000 N N N N/A N/A 000000000 1.000000 NC -81229.690000 -0.0537393 N/A DFE N/A N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 4527527.570000 EUR 5241790.320000 USD 2026-01-14 -81229.690000 N N N N/A N/A 000000000 1.000000 NC 214.080000 0.0001416 N/A DFE IL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 120844.000000 USD 385540.700000 ILS 2026-01-15 214.080000 N N N FNMA PASS THRU POOLS N/A 3140XJHP1 2412571.230000 PA USD 2360818.340000 1.56185 Long ABS-MBS USGSE US N 2 2043-04-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC -1665.620000 -0.0011019 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-08 0.000000 EUR -378.380000 EUR 100000.000000 EUR -1287.240000 N N N N/A N/A 000000000 1.000000 NC -762.580000 -0.0005045 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-22 0.000000 EUR -359.550000 EUR 100000.000000 EUR -403.030000 N N N PERU GOVT 254900STKLK2DBJJZ530 715638BY7 10500000.000000 PA 3371146.350000 2.23026 Long DBT NUSS PE N 2 2032-08-12 Fixed 6.15 N N N N N N N/A N/A 000000000 1.000000 NC -26032.940000 -0.0172227 N/A DFE CL N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 325664455.000000 CLP 336020.610000 USD 2026-03-18 -26032.940000 N N N N/A N/A 000000000 1.000000 NC -745.590000 -0.0004933 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 167000.000000 GBP 224360.170000 USD 2026-01-14 -745.590000 N N N N/A N/A 000000000 200000.000000 NC USD 396.920000 0.0002626 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.97200 08/06/26-10Y LCH 2036-08-06 0.000000 USD 0.000000 USD N/A USD N/A 2.970000 USD 2026-08-04 XXXX -1343.080000 N N N SUNTRUST ADJR MRTG LN TR 2007-S1 N/A 855541AA6 100019.340000 PA USD 57636.730000 0.0381309 Long ABS-MBS CORP US N 2 2037-01-25 Floating 6.67405 N N N N N N UMBS PASS THRU POOLS N/A 01F040628 -500000.000000 PA USD -474016.970000 -0.313596 Short ABS-MBS USGSE US N 2 2056-02-12 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC 49494.180000 0.032744 N/A DCR N/A N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A ITRAXX EUROPE CROSSOVER SERIES 44 Y Single Leg Swap 2030-12-20 48828.190000 EUR 0.000000 EUR 210000.000000 EUR 665.990000 N N N N/A N/A 000000000 1.000000 NC -420.730000 -0.0002783 N/A DFE IL N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 205078.290000 ILS 63979.000000 USD 2026-02-19 -420.730000 N N N ACHV ABS TRUST 2024-2PL N/A 00092HAB7 155994.060000 PA USD 157586.510000 0.104255 Long ABS-O CORP US N 2 2031-10-27 Fixed 5.43 N N N N N N N/A N/A 000000000 1.000000 NC 513.060000 0.0003394 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 17223.000000 USD 781906.980000 TRY 2026-02-09 513.060000 N N N N/A N/A 000000000 1.000000 NC -4809.160000 -0.0031816 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-01-08 0.000000 EUR -238.400000 EUR 100000.000000 EUR -4570.760000 N N N N/A N/A 000000000 1.000000 NC 53.860000 0.0000356 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 25000.000000 USD 174770.730000 CNY 2026-01-05 53.860000 N N N N/A N/A 000000000 1.000000 NC USD -7486.780000 -0.004953 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2030-03-25 0.000000 USD 0.000000 USD 1700000.000000 USD -7486.780000 N N N PERU GOVT 254900STKLK2DBJJZ530 P78024AG4 2500000.000000 PA 742249.560000 0.491052 Long DBT NUSS PE N 2 2034-08-12 Fixed 5.4 N N N N N N N/A N/A 000000000 17600000.000000 NC USD 6855.200000 0.0045352 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.14100 01/04/27-1Y LCH 2028-01-04 0.000000 USD 0.000000 USD N/A USD N/A 4.140000 USD 2026-12-30 XXXX -6256.800000 N N N CITIMORTGAGE ALTERNATIVE LN TR 2007-A6 N/A 18976GAG1 147038.050000 PA USD 135544.100000 0.0896722 Long ABS-MBS CORP US N 2 2037-06-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -684.070000 -0.0004526 N/A DFE IL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 219295.770000 ILS 68173.170000 USD 2026-01-22 -684.070000 N N N N/A N/A 000000000 1.000000 NC 678.300000 0.0004487 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 136778.000000 USD 4316334.000000 TWD 2026-01-20 678.300000 N N N N/A N/A 000000000 100000.000000 NC USD 390.950000 0.0002586 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.21500 08/07/26-10Y LCH 2036-08-07 0.000000 USD 0.000000 USD N/A USD N/A 3.210000 USD 2026-08-05 XXXX -909.050000 N N N N/A N/A 000000000 1.000000 NC USD -6726.940000 -0.0044504 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-05 0.000000 USD -1080.000000 USD 300000.000000 USD -5646.940000 N N N N/A N/A 000000000 1.000000 NC -65.190000 -0.0000431 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 24000.000000 CHF 30260.320000 USD 2026-01-14 -65.190000 N N N N/A N/A 000000000 1.000000 NC 824.230000 0.0005453 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 19218.240000 USD 864822.720000 TRY 2026-01-12 824.230000 N N N N/A N/A 000000000 1.000000 NC -22563.180000 -0.0149272 N/A DFE ZA N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 10526498.390000 ZAR 612173.000000 USD 2026-01-26 -22563.180000 N N N N/A N/A 000000000 1.000000 NC -1208.520000 -0.0007995 N/A DFE BR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 74000.000000 USD 398879.090000 BRL 2026-01-05 -1208.520000 N N N N/A N/A 000000000 1.000000 NC 1138.680000 0.0007533 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 83440.820000 USD 1538315.000000 MXN 2026-04-15 1138.680000 N N N PIMCO FUNDS 549300F9QJIJF2GM8419 000000000 1053821.670000 PA USD 10345367.370000 6.84421 Long STIV RF US N 1 N N N N/A N/A 000000000 -12.000000 NC USD -44123.050000 -0.0291906 N/A DE US N 1 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A S&P 500 TOTAL RETURN INDEX 2026-03-20 -4026777.000000 USD -44123.050000 N N N N/A N/A 000000000 1.000000 NC -2652.630000 -0.0017549 N/A DFE KR N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 259811392.000000 KRW 177539.560000 USD 2026-01-08 -2652.630000 N N N N/A N/A 000000000 1.000000 NC -4328.070000 -0.0028633 N/A DFE CH N 2 UBS AG BFM8T61CT2L1QCEMIK50 306000.000000 CHF 382322.220000 USD 2026-01-14 -4328.070000 N N N N/A N/A 000000000 1.000000 NC 1383.100000 0.000915 N/A DFE MX N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 61199.100000 USD 1132471.000000 MXN 2026-02-24 1383.100000 N N N N/A N/A 000000000 1.000000 NC 966.010000 0.0006391 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 191472738.000000 COP 51652.090000 USD 2026-01-02 966.010000 N N N N/A N/A 000000000 1.000000 NC 1086.940000 0.0007191 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 68760.240000 USD 1269699.000000 MXN 2026-04-10 1086.940000 N N N N/A N/A 000000000 1.000000 NC 675.960000 0.0004472 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 700000.000000 BRL 125795.210000 USD 2026-04-02 675.960000 N N N N/A N/A 000000000 1.000000 NC USD 1036.990000 0.000686 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-14 0.000000 USD -390.000000 USD 100000.000000 USD 1426.990000 N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341WZ8 6490.580000 PA USD 6286.000000 0.0041586 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.96988 N N N N N N N/A N/A 000000000 2000000.000000 NC USD 99805.400000 0.0660285 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.62800 08/22/35-10Y LCH 2045-08-22 0.000000 USD 0.000000 USD N/A USD N/A 4.630000 USD 2035-08-20 XXXX -73444.600000 N N N N/A N/A 000000000 -800000.000000 NC USD -265.600000 -0.0001757 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-18 N/A 7.850000 USD 2026-08-14 XXXX 94.400000 N N N N/A N/A 000000000 4500000.000000 NC USD 28.350000 0.0000188 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.75000 02/20/26-10Y LCH 2036-02-20 0.000000 USD 0.000000 USD N/A USD N/A 4.750000 USD 2026-02-18 XXXX -9309.150000 N N N SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5 N/A 83613FAD3 561689.870000 PA USD 443775.100000 0.293589 Long ABS-MBS CORP US N 2 2037-10-25 Floating 5.14621 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-OA12 N/A 23243AAD8 36597.920000 PA USD 35637.170000 0.0235766 Long ABS-MBS CORP US N 2 2046-09-20 Floating 4.26838 N N N N N N N/A N/A 000000000 1.000000 NC 1648.430000 0.0010906 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-04-16 0.000000 EUR -373.130000 EUR 100000.000000 EUR 2021.560000 N N N N/A N/A 000000000 1.000000 NC -6478.900000 -0.0042863 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1100000.000000 BRL 190137.070000 USD 2026-04-02 -6478.900000 N N N N/A N/A 000000000 -1300000.000000 NC USD -431.600000 -0.0002855 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Call Written HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-18 N/A 7.850000 USD 2026-08-14 XXXX 146.450000 N N N STRUCTURED ADJUSTABLE RT MTGE LN 2005-17 N/A 863579VV7 36932.360000 PA USD 18329.420000 0.0121262 Long ABS-MBS CORP US N 2 2035-08-25 Variable 4.7114 N N N N N N N/A N/A 000000000 1.000000 NC -3861.010000 -0.0025543 N/A DFE NZ N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 500885.000000 NZD 284616.880000 USD 2026-01-14 -3861.010000 N N N CHASE MORGAGE FINANCE CORP 2005-A2 N/A 16162WPX1 12559.000000 PA USD 11648.490000 0.0077063 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.76461 N N N N N N N/A N/A 000000000 1.000000 NC USD -883.260000 -0.0005843 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-11 0.000000 USD -337.500000 USD 100000.000000 USD -545.760000 N N N CARVANA AUTO RECEIVABLES TRUST 2023-P5 N/A 14687RAC5 202929.970000 PA USD 204505.190000 0.135295 Long ABS-O CORP US N 2 2029-01-10 Fixed 5.62 N N N N N N N/A N/A 000000000 1.000000 NC -916.900000 -0.0006066 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-29 0.000000 EUR -331.350000 EUR 100000.000000 EUR -585.550000 N N N FNMA PASS THRU POOLS N/A 3140NVEB9 300000.000000 PA USD 308792.480000 0.204289 Long ABS-MBS USGSE US N 2 2029-06-01 Fixed 4.93 N N N N N N N/A N/A 000000000 1.000000 NC -1103.040000 -0.0007297 N/A DFE CL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 51363760.000000 CLP 56000.000000 USD 2026-03-18 -1103.040000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI30CS02 900000.000000 PA 52823.370000 0.0349465 Long DBT NUSS ZA N 2 2026-06-17 None 0 N N N N N N N/A N/A 000000000 1.000000 NC USD 778.530000 0.0005151 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-08 0.000000 USD -275.000000 USD 100000.000000 USD 1053.530000 N N N BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE6 N/A 07387YAE3 708936.220000 PA USD 647573.750000 0.428417 Long ABS-MBS CORP US N 2 2037-08-25 Floating 4.89621 N N N N N N N/A N/A 000000000 1.000000 NC 2742.570000 0.0018144 N/A DFE TW N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 2876715.000000 TWD 94334.000000 USD 2026-01-22 2742.570000 N N N N/A N/A 000000000 1.000000 NC 725.010000 0.0004796 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 39975.000000 USD 146121.100000 PLN 2026-01-16 725.010000 N N N N/A N/A 000000000 1.000000 NC USD 1083.300000 0.0007167 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-14 0.000000 USD -396.750000 USD 100000.000000 USD 1480.050000 N N N N/A N/A 000000000 1.000000 NC 2857.690000 0.0018906 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 8339099.000000 TWD 267922.860000 USD 2026-03-18 2857.690000 N N N N/A N/A 000000000 1.000000 NC -28.500000 -0.0000189 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 7657.000000 USD 239875.000000 TWD 2026-02-02 -28.500000 N N N N/A N/A 000000000 -100000.000000 NC USD -31.350000 -0.0000207 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.63900 01/14/26-10Y LCH 2036-01-14 0.000000 USD 0.000000 USD N/A USD N/A 3.640000 USD 2026-01-12 XXXX 204.900000 N N N N/A N/A 000000000 1.000000 NC 550.610000 0.0003643 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 40150.000000 USD 146123.280000 PLN 2026-01-16 550.610000 N N N N/A N/A 000000000 -15.000000 NC USD -54412.500000 -0.0359978 N/A DE US N 1 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A S&P 500 TOTAL RETURN INDEX 2026-06-18 -5042272.500000 USD -54412.500000 N N N N/A N/A 000000000 4100000.000000 NC USD 216376.270000 0.143149 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.11000 08/25/27-30Y LCH 2057-08-25 0.000000 USD 0.000000 USD N/A USD N/A 4.110000 USD 2027-08-23 XXXX -114493.730000 N N N MERRILL LYNCH ALTERNATIVE NT 2007-A2 N/A 59024FAE4 3138289.130000 PA USD 737312.160000 0.487785 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.24621 N N N N N N N/A N/A 000000000 -3800000.000000 NC USD -1246.400000 -0.0008246 N/A DFE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-26 N/A 7.850000 USD 2026-08-24 XXXX 501.800000 N N N COUNTRYWIDE HOME LOANS 2005-R2 N/A 12669GN64 42314.260000 PA USD 41176.140000 0.027241 Long ABS-MBS CORP US N 2 2035-06-25 Floating 4.18621 N N N N N N N/A N/A 000000000 1.000000 NC 82.100000 0.0000543 N/A DFE CO N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 34191171.000000 COP 8897.000000 USD 2026-03-26 82.100000 N N N N/A N/A 000000000 1.000000 NC -506.740000 -0.0003352 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 0.000000 BRL 0.000000 BRL 600000.000000 BRL -506.740000 N N N N/A N/A 000000000 1.000000 NC 31.330000 0.0000207 N/A DFE IN N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 40000.000000 USD 3606598.400000 INR 2026-01-30 31.330000 N N N N/A N/A 000000000 1.000000 NC -2916.250000 -0.0019293 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 900000.000000 ZAR 50785.220000 USD 2026-06-17 -2916.250000 N N N MERRILL LYNCH MORTGAGE INVESTORS 2003-A2 N/A 589929M96 18066.160000 PA USD 17671.690000 0.0116911 Long ABS-MBS CORP US N 2 2033-02-25 Floating 5.63028 N N N N N N N/A N/A 000000000 1.000000 NC 127.940000 0.0000846 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 96541580.700000 COP 25401.000000 USD 2026-01-26 127.940000 N N N N/A N/A 000000000 1.000000 NC -1770.560000 -0.0011714 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 300000.000000 BRL 51851.980000 USD 2026-04-02 -1770.560000 N N N LEHMAN MORTGAGE TRUST 2006-7 N/A 52520QAB0 250480.840000 PA USD 112572.280000 0.0744747 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.49621 N N N N N N N/A N/A 000000000 1.000000 NC 3534.560000 0.0023384 N/A DFE PL N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 239675.000000 USD 873217.510000 PLN 2026-01-23 3534.560000 N N N N/A N/A 000000000 1.000000 NC 2741.520000 0.0018137 N/A DFE KR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 145901.000000 USD 214321274.000000 KRW 2026-01-08 2741.520000 N N N MELLON RESIDENTIAL FUND CORP 2002-TBC2 N/A 585525FX1 27961.120000 PA USD 27932.790000 0.0184796 Long ABS-MBS CORP US N 2 2032-08-15 Floating 4.7246 N N N N N N N/A N/A 000000000 1.000000 NC -6730.040000 -0.0044524 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 428352.050000 PEN 120455.570000 USD 2026-03-02 -6730.040000 N N N N/A N/A 000000000 200000.000000 NC USD 424.740000 0.000281 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.98900 08/10/26-10Y LCH 2036-08-10 0.000000 USD 0.000000 USD N/A USD N/A 2.990000 USD 2026-08-06 XXXX -1225.260000 N N N N/A N/A 000000000 1.000000 NC -1443.180000 -0.0009548 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-15 0.000000 EUR -377.360000 EUR 100000.000000 EUR -1065.820000 N N N FOUNDATION FINANCE TRUST 2025-2A N/A 35042NAA3 500879.410000 PA USD 503946.700000 0.333397 Long ABS-O CORP US N 2 2052-04-15 Fixed 4.67 N N N N N N N/A N/A 000000000 1.000000 NC 1429.170000 0.0009455 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 55905.000000 USD 1037814.830000 MXN 2026-02-27 1429.170000 N N N LEHMAN XS TRUST 2006 GP4 N/A 525161AN5 399894.980000 PA USD 419421.210000 0.277477 Long ABS-MBS CORP US N 2 2046-08-25 Floating 4.29621 N N N N N N FNMA PASS THRU POOLS N/A 3138E0LC1 24027.160000 PA USD 23868.230000 0.0157906 Long ABS-MBS USGSE US N 2 2027-01-01 Fixed 3 N N N N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI2Z7LJ3 1433200000.000000 PA 353377.380000 0.233785 Long DBT NUSS CO N 2 2035-01-24 Fixed 11.75 N N N N N N N/A N/A 000000000 1.000000 NC -15417.920000 -0.0102001 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2771001415.240000 COP 708283.000000 USD 2026-01-30 -15417.920000 N N N N/A N/A 000000000 1.000000 NC 67.890000 0.0000449 N/A DFE CO N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 26524655.000000 COP 6971.000000 USD 2026-02-05 67.890000 N N N FANNIE MAE-ACES 2020-M33 N/A 3136BBAR3 451524.900000 PA USD 22898.950000 0.0151493 Long ABS-MBS USGSE US N 2 2031-01-25 Variable 2.242 N N N N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397D83 200000.000000 PA USD 202574.470000 0.134018 Long DBT CORP US N 2 2027-03-05 Fixed 5.8 N N N N N N AMERICAN HOME MORTGAGE ASSETS 2007-3 N/A 026935AH9 147986.020000 PA USD 135189.060000 0.0894373 Long ABS-MBS CORP US N 2 2046-11-25 Variable 6.75 N N N N N N N/A N/A 000000000 1400000.000000 NC USD 0.140000 0.0000001 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.18850 01/06/26-7Y LCH 2033-01-06 0.000000 USD 0.000000 USD N/A USD N/A 3.190000 USD 2026-01-02 XXXX -6007.320000 N N N N/A N/A 000000000 1.000000 NC -356.380000 -0.0002358 N/A DIR CL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2028-10-01 0.000000 CLP 0.000000 CLP 345300000.000000 CLP -356.380000 N N N N/A N/A 000000000 1.000000 NC USD -936.480000 -0.0006195 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-12 0.000000 USD -296.250000 USD 100000.000000 USD -640.230000 N N N N/A N/A 000000000 -5600000.000000 NC USD -7030.630000 -0.0046513 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG45 (V1 ONLY) 5Y SP Single Leg Swap 2030-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.500000 USD 2026-05-20 XXXX 249.370000 N N N N/A N/A 000000000 -200000.000000 NC USD -62.700000 -0.0000415 N/A DIR US N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 Call Written Nomura Holdings, Inc. 549300B3CEAHYG7K8164 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.63900 01/14/26-10Y LCH 2036-01-14 0.000000 USD 0.000000 USD N/A USD N/A 3.640000 USD 2026-01-12 XXXX 409.800000 N N N N/A N/A 000000000 1.000000 NC 837.400000 0.000554 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 18700000.000000 JPY 120307.520000 USD 2026-01-14 837.400000 N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-124 N/A 38381PHD8 867242.280000 PA USD 872416.590000 0.577167 Long ABS-MBS USGSE US N 2 2055-07-20 Floating 5.06765 N N N N N N UMBS PASS THRU POOLS N/A 01F060626 27740000.000000 PA USD 28469500.420000 18.8346 Long ABS-MBS USGSE US N 2 2056-02-15 Fixed 6 N N N N N N ISHARES CORE S&P 500 ETF 5493007M4YMN8XL48C14 464287200 23393.000000 NS USD 16022801.420000 10.6002 Long EC CORP US N 1 N N N N/A N/A 000000000 1.000000 NC 4761.100000 0.0031498 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3634687.000000 TWD 120485.520000 USD 2026-01-22 4761.100000 N N N N/A N/A 000000000 1000000.000000 NC USD 1877.100000 0.0012418 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.14600 04/17/26-7Y LCH 2033-04-17 0.000000 USD 0.000000 USD N/A USD N/A 3.150000 USD 2026-04-15 XXXX -6122.900000 N N N N/A N/A 000000000 1.000000 NC 19.850000 0.0000131 N/A DFE CO N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 24180800.000000 COP 6350.000000 USD 2026-01-26 19.850000 N N N N/A N/A 000000000 1.000000 NC -159.370000 -0.0001054 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 6310968.720000 INR 70000.000000 USD 2026-01-12 -159.370000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-24 N/A 02151GAK3 147592.760000 PA USD 47560.440000 0.0314647 Long ABS-MBS CORP US N 2 2037-10-25 Fixed 7 N N N N N N RENAISSANCE HOME EQUITY LOAN TR 2007-3 N/A 75971FAD5 332964.240000 PA USD 132957.220000 0.0879608 Long ABS-MBS CORP US N 2 2037-09-25 Floating 4.94621 N N N N N N FNMA PASS THRU POOLS N/A 3140Q1EY2 6200000.000000 PA USD 6183783.030000 4.09102 Long ABS-MBS USGSE US N 2 2032-12-01 Fixed 4.3 N N N N N N N/A N/A 000000000 1.000000 NC 1.120000 0.0000007 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 41.870000 USD 1353.210000 THB 2026-01-21 1.120000 N N N AVON FINANCE 4A N/A ACI2JTXR2 376364.930000 PA 508006.180000 0.336083 Long ABS-MBS CORP GB N 2 2049-12-28 Floating 4.62617 N N N N N N N/A N/A 000000000 1.000000 NC 24.490000 0.0000162 N/A DFE PL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 29778.880000 USD 107000.000000 PLN 2026-01-16 24.490000 N N N FREMONT HOME LOAN TRUST 2006-C N/A 35729TAD4 1459012.250000 PA USD 585098.930000 0.387085 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.14621 N N N N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 842400JC8 300000.000000 PA USD 306671.950000 0.202886 Long DBT CORP US N 2 2029-06-01 Fixed 5.15 N N N N N N N/A N/A 000000000 1.000000 NC USD 385121.860000 0.254786 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2054-12-18 48943.650000 USD 0.000000 USD 3360000.000000 USD 336178.210000 N N N N/A N/A 000000000 1.000000 NC USD 344.140000 0.0002277 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-08 0.000000 USD -262.500000 USD 100000.000000 USD 606.640000 N N N CVC CORDATUS LOAN FUND XXIV DAC 24A N/A ACI2N2L65 320155.660000 PA 376952.170000 0.249381 Long ABS-CBDO CORP IE N 2 2034-10-23 Floating 3.266 N N N N N N N/A N/A 000000000 1.000000 NC USD 1146.200000 0.0007583 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-06 0.000000 USD -317.500000 USD 100000.000000 USD 1463.700000 N N N N/A N/A 000000000 -300000.000000 NC USD -0.060000 0 N/A DIR US N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Call Written WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.58000 01/07/26-10Y LCH 2036-01-07 0.000000 USD 0.000000 USD N/A USD N/A 3.580000 USD 2026-01-05 XXXX 693.690000 N N N N/A N/A 000000000 1.000000 NC -1077.380000 -0.0007128 N/A DFE JP N 2 AUSTRALIA AND NEW ZEALAND BANKING GROUP LIMITED JHE42UYNWWTJB8YTTU19 155713.000000 USD 24204262.000000 JPY 2026-01-14 -1077.380000 N N N LRECS 2025-CRE1 LLC N/A 50230AAA2 600000.000000 PA USD 601134.310000 0.397694 Long ABS-CBDO CORP US N 2 2043-08-19 Floating 5.5 N N N N N N CSAB MORTGAGE BACKED TR 2006-4 N/A 12628LAJ9 2650392.590000 PA USD 367118.600000 0.242875 Long ABS-MBS CORP US N 2 2036-12-25 Variable 6.1837 N N N N N N N/A N/A 000000000 1.000000 NC 4218.860000 0.0027911 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 352768.580000 USD 1372534352.640000 COP 2026-02-09 4218.860000 N N N N/A N/A 000000000 200000.000000 NC USD 548.740000 0.000363 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.06700 08/14/26-10Y LCH 2036-08-14 0.000000 USD 0.000000 USD N/A USD N/A 3.070000 USD 2026-08-12 XXXX -961.260000 N N N N/A N/A 000000000 1.000000 NC 724.660000 0.0004794 N/A DFE ZA N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 140317.000000 USD 2339042.290000 ZAR 2026-01-26 724.660000 N N N N/A N/A 000000000 -330000.000000 NC USD -535.260000 -0.0003541 N/A DFE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-02-19 N/A 1383.000000 USD 2026-02-12 XXXX 157.740000 N N N FANNIE MAE REMICS 2025-74 N/A 3136BXEJ9 1458130.230000 PA USD 1464640.780000 0.968966 Long ABS-MBS USGSE US N 2 2055-09-25 Floating 5.02419 N N N N N N N/A N/A 000000000 1.000000 NC 3026.340000 0.0020021 N/A DFE PL N 2 UBS AG BFM8T61CT2L1QCEMIK50 146877.000000 USD 538211.670000 PLN 2026-01-23 3026.340000 N N N N/A N/A 000000000 1.000000 NC USD -2009.920000 -0.0013297 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-10-30 0.000000 USD -323.000000 USD 100000.000000 USD -1686.920000 N N N N/A N/A 000000000 760000.000000 NC USD 61301.600000 0.0405554 N/A DFE LU N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-21 N/A 18.000000 USD 2026-08-19 XXXX 27952.040000 N N N LENDBUZZ SECURITIZATION TRUST 2023-3A N/A 525931AB7 476825.540000 PA USD 485518.070000 0.321205 Long ABS-O CORP US N 2 2028-12-15 Fixed 7.5 N N N N N N N/A N/A 000000000 100000.000000 NC USD 498.290000 0.0003297 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.29750 08/12/26-10Y LCH 2036-08-12 0.000000 USD 0.000000 USD N/A USD N/A 3.300000 USD 2026-08-10 XXXX -751.710000 N N N NOMURA HOME EQUITY LOAN INC 2006-AF1 N/A 65535AAA2 354808.950000 PA USD 60726.010000 0.0401746 Long ABS-MBS CORP US N 2 2036-10-25 Variable 6.532 N N N N N N N/A N/A 000000000 1.000000 NC -52.250000 -0.0000346 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 97721.540000 TRY 2149.460000 USD 2026-02-18 -52.250000 N N N WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2006-AR1 N/A 93934FJQ6 635700.200000 PA USD 543919.390000 0.359842 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.34621 N N N N N N N/A N/A 000000000 1.000000 NC -4967.470000 -0.0032863 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2029-07-25 0.000000 PLN -2097.490000 PLN 1170000.000000 PLN -2869.980000 N N N STRUCTURED ASSET INVEST LN TR 2003-BC8 N/A 86358EEC6 420029.270000 PA USD 386368.040000 0.25561 Long ABS-MBS CORP US N 2 2033-08-25 Floating 6.99621 N N N N N N N/A N/A 000000000 1.000000 NC -962.590000 -0.0006368 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 160708.100000 USD 5017307.000000 TWD 2026-01-22 -962.590000 N N N N/A N/A 000000000 3800000.000000 NC USD 2116.600000 0.0014003 N/A DFE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-26 N/A 7.800000 USD 2026-08-24 XXXX -3157.300000 N N N FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2006-AA3 N/A 320516AA5 412653.630000 PA USD 324785.930000 0.214869 Long ABS-MBS CORP US N 2 2036-06-25 Floating 5.00473 N N N N N N N/A N/A 000000000 1.000000 NC 157.350000 0.0001041 N/A DFE TW N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 30219.000000 USD 953863.000000 TWD 2026-01-20 157.350000 N N N N/A N/A 000000000 1.000000 NC -1142.190000 -0.0007556 N/A DFE NO N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 792036.270000 NOK 77441.100000 USD 2026-01-14 -1142.190000 N N N VOLKSWAGEN GROUP OF AMERICA FINANCE LLC 5493002SQ1AVQBY41K40 928668CP5 300000.000000 PA USD 304729.670000 0.201601 Long DBT CORP US N 2 2028-03-27 Fixed 5.05 N N N N N N N/A N/A 000000000 1.000000 NC -225.090000 -0.0001489 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2035-12-01 143.480000 PLN 0.000000 PLN 700000.000000 PLN -368.570000 N N N GLS AUTO SELECT RECEIVABLES TRUST 2023-1A N/A 36267FAE8 214887.820000 PA USD 216574.690000 0.14328 Long ABS-O CORP US N 2 2028-10-16 Fixed 5.96 N N N N N N N/A N/A 000000000 1.000000 NC -151.540000 -0.0001003 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 913793.000000 INR 10000.000000 USD 2026-01-20 -151.540000 N N N N/A N/A 000000000 -1600000.000000 NC USD -11.040000 -0.0000073 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.68850 01/06/26-7Y LCH 2033-01-06 0.000000 USD 0.000000 USD N/A USD N/A 3.690000 USD 2026-01-02 XXXX 6122.290000 N N N N/A N/A 000000000 1.000000 NC 1396.360000 0.0009238 N/A DFE MX N 2 UBS AG BFM8T61CT2L1QCEMIK50 55412.000000 USD 1028297.110000 MXN 2026-02-27 1396.360000 N N N N/A N/A 000000000 -200000.000000 NC USD -273.120000 -0.0001807 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Call Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.62200 02/02/26-10Y LCH 2036-02-02 0.000000 USD 0.000000 USD N/A USD N/A 3.620000 USD 2026-01-29 XXXX 154.380000 N N N N/A N/A 000000000 1.000000 NC USD -3778.060000 -0.0024995 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2057-08-25 0.000000 USD -124.560000 USD 200000.000000 USD -3653.500000 N N N N/A N/A 000000000 1.000000 NC -473.120000 -0.000313 N/A DFE IL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 131069.540000 ILS 40686.000000 USD 2026-02-19 -473.120000 N N N N/A N/A 000000000 1.000000 NC 5312.510000 0.0035146 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Mexico Interbank TIIE 1 Day Y 2029-03-01 93.200000 MXN 0.000000 MXN 7300000.000000 MXN 5219.310000 N N N N/A N/A 000000000 -21.000000 NC USD -4113.290000 -0.0027212 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Call Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 03/20/26 2026-03-21 N/A USD N/A 114.000000 USD 2026-02-20 XXXX 9642.970000 N N N INDYMAC INDX MTGE LOAN TRUST 2005-AR5 N/A 45660LGV5 478610.210000 PA USD 317605.830000 0.210119 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.18639 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-AR1 N/A 17307G2Z0 23370.900000 PA USD 22712.340000 0.0150259 Long ABS-MBS CORP US N 2 2035-10-25 Floating 6.56 N N N N N N MASTR ASSET SECURITIZATION TRUST 2006-2 N/A 55274QBB0 157423.500000 PA USD 84205.310000 0.0557079 Long ABS-MBS CORP US N 2 2036-06-25 Fixed 6 N N N N N N N/A N/A 000000000 1400000.000000 NC USD 73884.580000 0.04888 N/A DIR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Call Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.11000 08/25/27-30Y LCH 2057-08-25 0.000000 USD 0.000000 USD N/A USD N/A 4.110000 USD 2027-08-23 XXXX -39095.420000 N N N N/A N/A 000000000 800000.000000 NC USD 447.200000 0.0002959 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-18 N/A 7.800000 USD 2026-08-14 XXXX -608.800000 N N N N/A N/A 000000000 1.000000 NC 218.090000 0.0001443 N/A DFE NZ N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 173000.000000 NZD 99855.080000 USD 2026-01-14 218.090000 N N N N/A N/A 000000000 1.000000 NC -0.340000 -0.0000002 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 4051.000000 USD 365038.370000 INR 2026-02-02 -0.340000 N N N N/A N/A 000000000 1.000000 NC 1002.240000 0.0006631 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 120101.180000 USD 844000.000000 CNY 2026-01-21 1002.240000 N N N COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2006-19 N/A 12543XAG1 335848.280000 PA USD 153463.990000 0.101528 Long ABS-MBS CORP US N 2 2037-01-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC -33396.440000 -0.0220942 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Mexico Interbank TIIE 1 Day Y 2029-03-01 0.000000 MXN -21971.140000 MXN 13400000.000000 MXN -11425.300000 N N N JAMESTOWN CLO 2022 XVIIIA LTD N/A 47047RAN6 500000.000000 PA USD 500750.640000 0.331283 Long ABS-CBDO CORP KY N 2 2035-07-25 Floating 5.12798 N N N N N N N/A N/A 000000000 1.000000 NC -600.060000 -0.000397 N/A DFE IL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 133814.440000 ILS 41417.080000 USD 2026-01-15 -600.060000 N N N LOANCORE ISSUER LTD 2021-CRE6 N/A 53948HAA4 91535.000000 PA USD 92059.320000 0.0609039 Long ABS-CBDO CORP KY N 2 2038-11-15 Floating 5.1646 N N N N N N MORGAN STANLEY DEAN WITTER CAP I2002-AM3 N/A 61746WWR7 42127.870000 PA USD 42445.890000 0.028081 Long ABS-MBS CORP US N 2 2033-02-25 Floating 4.82621 N N N N N N N/A N/A 000000000 1.000000 NC -6.500000 -0.0000043 N/A DFE CO N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 26559510.000000 COP 6971.000000 USD 2026-01-20 -6.500000 N N N N/A N/A 000000000 1.000000 NC 2026.700000 0.0013408 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1799381.000000 TWD 59317.000000 USD 2026-01-22 2026.700000 N N N N/A N/A 000000000 1.000000 NC 6.330000 0.0000042 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2035-12-02 0.000000 PLN 0.000000 PLN 100000.000000 PLN 6.330000 N N N N/A N/A 000000000 1.000000 NC -666.010000 -0.0004406 N/A DFE CH N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 40340.880000 CHF 50307.230000 USD 2026-01-14 -666.010000 N N N N/A N/A 000000000 1.000000 NC -44.170000 -0.0000292 N/A DFE MX N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 34565.620000 MXN 1861.760000 USD 2026-03-18 -44.170000 N N N N/A N/A 000000000 1200000.000000 NC USD 199.560000 0.000132 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased UMBS PASS THRU POOLS FNMA TBA 5.0% FEB 30YR N/A 97.380000 USD 2026-02-05 XXXX -1300.440000 N N N FREDDIE MAC REMICS 5575 N/A 3137HN2X5 4890528.660000 PA USD 4917999.740000 3.25361 Long ABS-MBS USGSE US N 2 2055-09-25 Floating 4.82419 N N N N N N N/A N/A 000000000 1900000.000000 NC USD 3157.420000 0.0020889 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.31700 03/04/26-7Y LCH 2033-03-04 0.000000 USD 0.000000 USD N/A USD N/A 3.320000 USD 2026-03-02 XXXX -8092.580000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CNN7 1200000.000000 PA USD 1209046.870000 0.799872 Long DBT UST US N 2 2030-07-31 Fixed 3.875 N N N N N N N/A N/A 000000000 1.000000 NC -1931.400000 -0.0012778 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 802328.930000 BRL 144485.670000 USD 2026-01-05 -1931.400000 N N N N/A N/A 000000000 1.000000 NC 214474.840000 0.141891 N/A DCR N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A ITRAXX EUROPE CROSSOVER SERIES 44 Y Single Leg Swap 2030-12-20 209818.430000 EUR 0.000000 EUR 910000.000000 EUR 4656.410000 N N N N/A N/A 000000000 1.000000 NC 4225.600000 0.0027955 N/A DFE CH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 324359.230000 USD 260046.250000 CHF 2026-01-14 4225.600000 N N N N/A N/A 000000000 1.000000 NC 3632.150000 0.0024029 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 3042406.000000 TWD 100499.000000 USD 2026-01-22 3632.150000 N N N N/A N/A 000000000 1.000000 NC USD -1858.160000 -0.0012293 N/A DCR US N 2 CITIGROUP GLOBAL MARKETS INC. MBNUM2BPBDO7JBLYG310 N/A CMBX.NA.AAA.16 Y Single Leg Swap 2065-04-17 0.000000 USD -6137.810000 USD 399897.970000 USD 4279.650000 N N N JP MORGAN MORTGAGE TRUST 2008-R2 N/A 46632TAA3 88068.320000 PA USD 82882.120000 0.0548325 Long ABS-MBS CORP US N 2 2037-07-27 Floating 4.05062 N N N N N N N/A N/A 000000000 1.000000 NC -1234.220000 -0.0008165 N/A DFE NZ N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 417775.000000 NZD 239377.600000 USD 2026-01-14 -1234.220000 N N N CARVANA AUTO RECEIVABLES TRUST 2025-N1 N/A 14688XAD9 500000.000000 PA USD 506246.650000 0.334919 Long ABS-O CORP US N 2 2031-05-12 Fixed 5.05 N N N N N N N/A N/A 000000000 24.000000 NC 3042.870000 0.0020131 N/A DIR AU N 1 ASX - SYDNEY FUTURES EXCHANGE LIMITED 549300ZD7BBOVZFVHK49 Long N/A AUSTRALIA GOVT 2026-03-16 1753540.590000 AUD 3042.870000 N N N N/A N/A 000000000 1.000000 NC USD -19629.580000 -0.0129864 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2035-10-29 0.000000 USD 0.000000 USD 3800000.000000 USD -19629.580000 N N N N/A N/A 000000000 1.000000 NC 9691.970000 0.0064119 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Mexico Interbank TIIE 1 Day Y 2029-03-01 0.000000 MXN 0.000000 MXN 13600000.000000 MXN 9691.970000 N N N N/A N/A 000000000 1.000000 NC -52.110000 -0.0000345 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1802894.900000 INR 20000.000000 USD 2026-01-08 -52.110000 N N N N/A N/A 000000000 1.000000 NC 97.710000 0.0000646 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 58961.030000 BRL 10717.460000 USD 2026-03-03 97.710000 N N N N/A N/A 000000000 1.000000 NC -14727.820000 -0.0097435 N/A DFE CO N 2 UBS AG BFM8T61CT2L1QCEMIK50 3226275982.130000 COP 821340.810000 USD 2026-03-05 -14727.820000 N N N N/A N/A 000000000 1.000000 NC -2895.720000 -0.0019157 N/A DFE JP N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 515353.000000 USD 80212117.000000 JPY 2026-01-14 -2895.720000 N N N N/A N/A 000000000 200000.000000 NC USD 481.940000 0.0003188 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.17400 04/29/26-7Y LCH 2033-04-29 0.000000 USD 0.000000 USD N/A USD N/A 3.170000 USD 2026-04-27 XXXX -926.510000 N N N N/A N/A 000000000 1.000000 NC -6.730000 -0.0000045 N/A DFE PE N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 6684.710000 PEN 1976.730000 USD 2026-03-18 -6.730000 N N N N/A N/A 000000000 100000.000000 NC USD 489.950000 0.0003241 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.28800 08/13/26-10Y LCH 2036-08-13 0.000000 USD 0.000000 USD N/A USD N/A 3.290000 USD 2026-08-11 XXXX -760.050000 N N N FNMA PASS THRU POOLS N/A 3140W1NN9 2905048.530000 PA USD 2842419.400000 1.88047 Long ABS-MBS USGSE US N 2 2051-08-01 Fixed 4 N N N N N N CARLYLE EURO CLO 2025-1 DAC 25-1A N/A ACI2XJFQ0 500000.000000 PA 588094.170000 0.389067 Long ABS-CBDO CORP IE N 2 2038-08-15 Floating 3.221 N N N N N N N/A N/A 000000000 1.000000 NC 1699.040000 0.001124 N/A DFE TW N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 3401530.000000 TWD 110000.000000 USD 2026-01-22 1699.040000 N N N N/A N/A 000000000 1.000000 NC 384.210000 0.0002542 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 192592922.100000 COP 50802.000000 USD 2026-01-26 384.210000 N N N N/A N/A 000000000 1.000000 NC 127.370000 0.0000843 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 200000.000000 BRL 35875.730000 USD 2026-04-02 127.370000 N N N COUNTRYWIDE HOME LOANS 2006-20 N/A 12544AAW5 328716.050000 PA USD 142850.690000 0.094506 Long ABS-MBS CORP US N 2 2037-02-25 Fixed 6 N N N N N N N/A N/A 000000000 -1200000.000000 NC USD -10313.880000 -0.0068234 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.64600 04/17/26-7Y LCH 2033-04-17 0.000000 USD 0.000000 USD N/A USD N/A 3.650000 USD 2026-04-15 XXXX -1113.880000 N N N N/A N/A 000000000 1.000000 NC USD 4083564.070000 2.70157 N/A DE US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A RAE FUNDAMENTAL INTERNATIONAL LARGE NET TOTAL RETURN Y 2026-09-23 0.000000 USD 0.000000 USD 111416795.760000 USD 4083564.070000 N N N N/A N/A 000000000 -1700000.000000 NC USD -14402.060000 -0.009528 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.67400 04/29/26-7Y LCH 2033-04-29 0.000000 USD 0.000000 USD N/A USD N/A 3.670000 USD 2026-04-27 XXXX -2439.100000 N N N N/A N/A 000000000 700000.000000 NC USD 37901.290000 0.0250744 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.69300 08/29/35-10Y LCH 2045-08-29 0.000000 USD 0.000000 USD N/A USD N/A 4.690000 USD 2035-08-27 XXXX -22403.710000 N N N N/A N/A 000000000 -47.000000 NC 25895.510000 0.0171317 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Short N/A FRANCE GOVT 2026-03-06 -6660716.240000 EUR 25895.510000 N N N N/A N/A 000000000 1.000000 NC USD 171.660000 0.0001136 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2029-11-07 0.000000 USD 0.000000 USD 170000.000000 USD 171.660000 N N N N/A N/A 000000000 2100000.000000 NC USD 8983.380000 0.0059432 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.25500 08/05/26-10Y LCH 2036-08-05 0.000000 USD 0.000000 USD N/A USD N/A 3.250000 USD 2026-08-03 XXXX -18363.290000 N N N FEDERAL HOME LOAN BANK (FHLB) 2549001DPIFGXC1TOL40 313385YM2 1100000.000000 PA USD 1081552.090000 0.715525 Long DBT USGSE US N 2 2026-06-24 None 0 N N N N N N N/A N/A 000000000 1.000000 NC 15879.100000 0.0105052 N/A DFE CL N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 360800.240000 USD 338906881.000000 CLP 2026-01-30 15879.100000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797RT6 86000.000000 PA USD 85648.930000 0.0566629 Long DBT UST US N 2 2026-02-12 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -11724.800000 -0.0077568 N/A DFE AU N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 674558.000000 AUD 438472.140000 USD 2026-01-14 -11724.800000 N N N N/A N/A 000000000 1.000000 NC USD 90136.090000 0.0596315 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-06-21 92819.510000 USD 0.000000 USD 3700000.000000 USD -2683.420000 N N N N/A N/A 000000000 1.000000 NC -2480.820000 -0.0016412 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-03-13 0.000000 EUR -259.360000 EUR 100000.000000 EUR -2221.460000 N N N N/A N/A 000000000 1.000000 NC -31.890000 -0.0000211 N/A DFE CO N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 26908060.000000 COP 6971.000000 USD 2026-02-05 -31.890000 N N N N/A N/A 000000000 1.000000 NC 104.540000 0.0000692 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 8000000.000000 JPY 51214.750000 USD 2026-01-14 104.540000 N N N FNMA PASS THRU POOLS N/A 31418FAW7 645086.880000 PA USD 654678.920000 0.433117 Long ABS-MBS USGSE US N 2 2054-07-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC -2009.380000 -0.0013293 N/A DFE IN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 174004.000000 USD 15495752.220000 INR 2026-01-30 -2009.380000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-48T1 N/A 12668AFH3 116681.120000 PA USD 63485.040000 0.0419999 Long ABS-MBS CORP US N 2 2035-11-25 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 1465.360000 0.0009694 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1200000.000000 BRL 215955.510000 USD 2026-04-02 1465.360000 N N N N/A N/A 000000000 -200000.000000 NC USD -198.500000 -0.0001313 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.87750 01/14/26-10Y LCH 2036-01-14 0.000000 USD 0.000000 USD N/A USD N/A 3.880000 USD 2026-01-12 XXXX 241.500000 N N N N/A N/A 000000000 1.000000 NC -11.150000 -0.0000074 N/A DFE MX N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 109477.620000 USD 1992000.000000 MXN 2026-04-20 -11.150000 N N N N/A N/A 000000000 -1500000.000000 NC USD -492.000000 -0.0003255 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Call Written HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-26 N/A 7.850000 USD 2026-08-24 XXXX 288.000000 N N N N/A N/A 000000000 1.000000 NC USD -1622.760000 -0.0010736 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-06 0.000000 USD -355.000000 USD 100000.000000 USD -1267.760000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2007-2CB N/A 02149HAJ9 259420.690000 PA USD 130315.180000 0.0862129 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 5.75 N N N N N N CREDIT SUISSE MORTGAGE TRUST 2010-16 N/A 12644WAT3 799317.040000 PA USD 725390.760000 0.479898 Long ABS-MBS CORP US N 2 2050-06-25 Variable 4.19134 N N N N N N MERRILL LYNCH ALTERNATIVE NOTE ASSET 2007-F1 N/A 59023YAG9 77355.370000 PA USD 24230.370000 0.0160301 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 N N N N N N CHILEAN GOVT 549300FLZTJM5YJF8D34 ACI1YYXQ8 990000000.000000 PA 1121723.060000 0.742101 Long DBT NUSS CL N 2 2028-10-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC -778.110000 -0.0005148 N/A DFE IL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 204000.000000 ILS 63276.990000 USD 2026-01-15 -778.110000 N N N N/A N/A 000000000 1.000000 NC 577.770000 0.0003822 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 40201.800000 USD 741301.000000 MXN 2026-04-10 577.770000 N N N FIRST FRANKLIN MTG LOAN ABS 2006-FF15 N/A 32028GAE5 15339.490000 PA USD 16108.060000 0.0106566 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.00621 N N N N N N FNMA PASS THRU POOLS N/A 3140LL6D8 600000.000000 PA USD 628269.900000 0.415646 Long ABS-MBS USGSE US N 2 2030-11-01 Fixed 5.3 N N N N N N N/A N/A 000000000 1.000000 NC 943.890000 0.0006245 N/A DFE IN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 7072646.110000 INR 79446.510000 USD 2026-01-30 943.890000 N N N NOVASTAR MORTGAGE-BACKED NOTES 2006-MTA1 N/A 66988UAA8 909953.540000 PA USD 335639.460000 0.22205 Long ABS-MBS CORP US N 2 2046-09-25 Floating 4.25621 N N N N N N N/A N/A 000000000 1.000000 NC -17866.070000 -0.0118197 N/A DIR PL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 WIBOR PLN 6M N/A N/A Y 2029-07-25 0.000000 PLN 0.000000 PLN 1500000.000000 PLN -17866.070000 N N N N/A N/A 000000000 -450000.000000 NC USD -3506.850000 -0.00232 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-02-06 N/A 5.680000 USD 2026-02-04 XXXX 2000.700000 N N N FREDDIE MAC REMICS 3951 N/A 3137AHVF2 82534.000000 PA USD 78224.830000 0.0517514 Long ABS-MBS USGSE US N 2 2040-02-15 Floating 2.66334 N N N N N N N/A N/A 000000000 -400000.000000 NC USD -597.140000 -0.0003951 N/A DCR US N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 Call Written Royal Bank of Canada ES7IP3U3RHIGC71XBU11 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG45 (V1 ONLY) 5Y SP Single Leg Swap 2030-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.530000 USD 2026-02-18 XXXX 24.860000 N N N N/A N/A 000000000 -800000.000000 NC USD -677.680000 -0.0004483 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.06600 02/09/26-10Y LCH 2036-02-09 0.000000 USD 0.000000 USD N/A USD N/A 4.070000 USD 2026-02-05 XXXX 634.320000 N N N MASTR ADJUSTABLE RATE MTGES TRU 2004-13 N/A 576433UM6 11950.990000 PA USD 11874.820000 0.007856 Long ABS-MBS CORP US N 2 2034-11-21 Floating 5.63256 N N N N N N N/A N/A 000000000 1.000000 NC -3986.320000 -0.0026372 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 2519636.970000 CNY 357550.000000 USD 2026-01-21 -3986.320000 N N N N/A N/A 000000000 1.000000 NC 49.640000 0.0000328 N/A DFE HK N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 481504.880000 HKD 61954.590000 USD 2026-01-21 49.640000 N N N N/A N/A 000000000 1.000000 NC 104.250000 0.000069 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 20733.000000 USD 654321.000000 TWD 2026-01-20 104.250000 N N N PK ALIFT LOAN FUNDING 4 LP 2024-2 N/A 69381EAA1 489322.480000 PA USD 491504.470000 0.325166 Long ABS-O CORP US N 2 2039-10-15 Fixed 5.052 N N N N N N N/A N/A 000000000 1.000000 NC 24.450000 0.0000162 N/A DIR CZ N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 CZK-PRIBOR-Reference Banks 6M N/A N/A Y 2035-12-02 0.000000 CZK 0.000000 CZK 600000.000000 CZK 24.450000 N N N N/A N/A 000000000 1.000000 NC -406.390000 -0.0002689 N/A DFE SG N 2 Royal Bank of Canada ES7IP3U3RHIGC71XBU11 88000.000000 SGD 68097.540000 USD 2026-01-14 -406.390000 N N N N/A N/A 000000000 1.000000 NC 604.380000 0.0003998 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 193528948.950000 COP 50802.000000 USD 2026-02-27 604.380000 N N N N/A N/A 000000000 -200000.000000 NC USD -138.240000 -0.0000915 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.64750 01/20/26-10Y LCH 2036-01-20 0.000000 USD 0.000000 USD N/A USD N/A 3.650000 USD 2026-01-15 XXXX 402.260000 N N N N/A N/A 000000000 1.000000 NC 1176.720000 0.0007785 N/A DFE IL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 54086.500000 USD 176000.000000 ILS 2026-01-15 1176.720000 N N N N/A N/A 000000000 1.000000 NC 47.060000 0.0000311 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 21565548.000000 COP 5592.000000 USD 2026-04-06 47.060000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-19CB N/A 02147QAC6 133201.710000 PA USD 73930.650000 0.0489105 Long ABS-MBS CORP US N 2 2036-08-25 Floating 6 N N N N N N N/A N/A 000000000 1.000000 NC 121.600000 0.0000804 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 22664.000000 USD 715502.000000 TWD 2026-01-20 121.600000 N N N N/A N/A 000000000 -1600000.000000 NC USD -5260.990000 -0.0034805 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG45 (V1 ONLY) 5Y SP Single Leg Swap 2030-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.570000 USD 2026-01-21 XXXX -1580.990000 N N N N/A N/A 000000000 1.000000 NC -4083.160000 -0.0027013 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 2615811.510000 CNY 371253.000000 USD 2026-01-21 -4083.160000 N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2024-5A N/A 30165BAE3 500000.000000 PA USD 500464.600000 0.331093 Long ABS-O CORP US N 2 2029-04-16 Fixed 4.48 N N N N N N OCTAGON INVESTMENT PARTNERS 39 LTD 2018-3A N/A 67592CAL0 154405.090000 PA USD 154590.610000 0.102273 Long ABS-CBDO CORP KY N 2 2030-10-20 Floating 5.03444 N N N N N N N/A N/A 000000000 1.000000 NC 315.150000 0.0002085 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 10043684.000000 JPY 64482.000000 USD 2026-01-14 315.150000 N N N N/A N/A 000000000 1.000000 NC -2597.840000 -0.0017187 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 235077.010000 PEN 67230.170000 USD 2026-02-18 -2597.840000 N N N SMALL BUSINESS ADMIN PART CERTS 2008-20H N/A 83162CRY1 30054.630000 PA USD 30638.380000 0.0202695 Long ABS-O CORP US N 2 2028-08-01 Fixed 6.02 N N N N N N FREDDIE MAC REMICS 3848 N/A 3137A9D52 179449.050000 PA USD 184143.940000 0.121825 Long ABS-MBS USGSE US N 2 2041-04-15 Fixed 5 N N N N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 195325EQ4 300000.000000 PA USD 319050.000000 0.211075 Long DBT NUSS CO N 2 2054-11-07 Fixed 8.375 N N N N N N GSAA HOME EQUITY TRUST 2006-10 N/A 362375AD9 495786.010000 PA USD 108567.270000 0.0718251 Long ABS-MBS CORP US N 2 2036-06-25 Variable 6.79548 N N N N N N AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-7A LLC N/A 05377RHL1 300000.000000 PA USD 307411.320000 0.203375 Long ABS-O CORP US N 2 2028-08-21 Fixed 5.9 N N N N N N UMBS PASS THRU POOLS N/A 01F022618 -4560000.000000 PA USD -3855693.770000 -2.55082 Short ABS-MBS USGSE US N 2 2055-01-15 Fixed 2.5 N N N N N N BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12 N/A 07387AGE9 123411.430000 PA USD 113860.780000 0.0753271 Long ABS-MBS CORP US N 2 2036-02-25 Floating 4.42199 N N N N N N N/A N/A 000000000 1.000000 NC USD -2081.900000 -0.0013773 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-01 0.000000 USD -332.500000 USD 100000.000000 USD -1749.400000 N N N FORD MOTOR CREDIT COMPANY LLC UDSQCVRUX5BONN0VY111 345397E58 200000.000000 PA USD 204418.030000 0.135237 Long DBT CORP US N 2 2029-03-08 Fixed 5.8 N N N N N N PALMER SQUARE EUROPEAN LOAN FUNDING 2025-2 DAC 25-2A N/A ACI2X1SW2 500000.000000 PA 590045.470000 0.390358 Long ABS-CBDO CORP IE N 2 2035-02-15 Floating 4.064 N N N N N N N/A N/A 000000000 1.000000 NC 3176.960000 0.0021018 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 7672540.000000 TWD 247055.000000 USD 2026-03-18 3176.960000 N N N MERRILL LYNCH MTGE INVESTORS 2006-A3 N/A 59023CAK8 92804.970000 PA USD 87621.170000 0.0579677 Long ABS-MBS CORP US N 2 2036-05-25 Floating 5.199 N N N N N N FREDDIE MAC 3218 N/A 31397BJY8 111009.190000 PA USD 11773.860000 0.0077893 Long ABS-MBS USGSE US N 2 2036-09-15 Floating 2.47167 N N N N N N N/A N/A 000000000 1.000000 NC 2.580000 0.0000017 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 26775611.000000 COP 6971.000000 USD 2026-02-05 2.580000 N N N N/A N/A 000000000 1.000000 NC -2656.780000 -0.0017577 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 391546.210000 ILS 120287.000000 USD 2026-01-15 -2656.780000 N N N N/A N/A 000000000 1.000000 NC USD -369.730000 -0.0002446 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-05-07 0.000000 USD -487.500000 USD 100000.000000 USD 117.770000 N N N N/A N/A 000000000 200000.000000 NC USD 570.540000 0.0003775 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.07500 08/18/26-10Y LCH 2036-08-18 0.000000 USD 0.000000 USD N/A USD N/A 3.080000 USD 2026-08-14 XXXX -989.460000 N N N GSAA HOME EQUITY TRUST 2007-5 N/A 3622ECAA4 595421.130000 PA USD 213426.260000 0.141197 Long ABS-MBS CORP US N 2 2037-05-25 Floating 3.94621 N N N N N N N/A N/A 000000000 1.000000 NC USD -954.860000 -0.0006317 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-04 0.000000 USD -360.750000 USD 100000.000000 USD -594.110000 N N N FHLMC PASS THRU POOLS N/A 3132DWMY6 6770308.810000 PA USD 6870180.070000 4.54512 Long ABS-MBS USGSE US N 2 2054-11-01 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 31.600000 0.0000209 N/A DFE CO N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 26664075.000000 COP 6971.000000 USD 2026-02-05 31.600000 N N N N/A N/A 000000000 -7.000000 NC 40618.710000 0.0268722 N/A DIR JP N 1 OSAKA SECURITIES EXCHANGE 3538001249AILNPRUX57 Short N/A JAPAN GOVT 2026-03-13 -5917198.670000 JPY 40618.710000 N N N ASSET BACKED SEC HOME EQTY LN 2004-HE3 N/A 04541GJT0 1007066.820000 PA USD 1056860.430000 0.699189 Long ABS-MBS CORP US N 2 2034-06-25 Floating 4.65621 N N N N N N COUNTRYWIDE ASSET-BACKED CERT 2007-12 N/A 126697AA9 305216.840000 PA USD 302082.140000 0.199849 Long ABS-MBS CORP US N 2 2047-08-25 Floating 4.58621 N N N N N N PETROLEOS DEL PERU SA - PETROPERU SA 549300ZMGDLC9JT2OR80 P7808BAB3 200000.000000 PA USD 127339.500000 0.0842443 Long DBT CORP PE N 2 2047-06-19 Fixed 5.625 N N N N N N N/A N/A 000000000 1.000000 NC USD -3900.860000 -0.0025807 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2030-03-04 0.000000 USD -588.750000 USD 300000.000000 USD -3312.110000 N N N N/A N/A 000000000 -200000.000000 NC USD -39.700000 -0.0000263 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.92500 01/12/26-10Y LCH 2036-01-12 0.000000 USD 0.000000 USD N/A USD N/A 3.920000 USD 2026-01-08 XXXX 470.300000 N N N HERTZ VEHICLE FINANCING III LLC 2023-1A N/A 42806MBS7 300000.000000 PA USD 301014.900000 0.199143 Long ABS-O CORP US N 2 2027-06-25 Fixed 5.49 N N N N N N N/A N/A 000000000 100000.000000 NC USD 550.510000 0.0003642 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.32500 08/18/26-10Y LCH 2036-08-18 0.000000 USD 0.000000 USD N/A USD N/A 3.330000 USD 2026-08-14 XXXX -679.490000 N N N N/A N/A 000000000 1.000000 NC USD -2936.580000 -0.0019428 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-06 0.000000 USD -680.000000 USD 200000.000000 USD -2256.580000 N N N N/A N/A 000000000 1.000000 NC 1912.370000 0.0012652 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 144485.670000 USD 808317.860000 BRL 2026-02-03 1912.370000 N N N N/A N/A 000000000 1.000000 NC USD -843.770000 -0.0005582 N/A DCR US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 SAUDI ARABIA GOVT SAUDI INTERNATIONAL BOND SR UNSEC REGS Y Single Leg Swap 2035-12-20 0.000000 USD -163.010000 USD 200000.000000 USD -680.760000 N N N CITIGROUP MTGE LOAN TR INC 2007-AHL2 N/A 17312TAA1 977006.240000 PA USD 665289.570000 0.440137 Long ABS-MBS CORP US N 2 2037-05-25 Floating 4.03621 N N N N N N N/A N/A 000000000 1.000000 NC 490.450000 0.0003245 N/A DFE TR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 17995.230000 USD 820474.520000 TRY 2026-02-18 490.450000 N N N MEXICO GOVT 254900EGTWEU67VP6075 ACI2JBZ32 31800000.000000 PA 1783131.030000 1.17967 Long DBT NUSS MX N 2 2029-03-01 Fixed 8.5 N N N N N N N/A N/A 000000000 -4.000000 NC USD 1963.510000 0.001299 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2026-03-20 -459031.250000 USD 1963.510000 N N N N/A N/A 000000000 1.000000 NC 430.050000 0.0002845 N/A DIR CZ N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 CZK-PRIBOR-Reference Banks 6M N/A N/A Y 2035-12-01 0.000000 CZK -150.630000 CZK 3960000.000000 CZK 580.680000 N N N N/A N/A 000000000 2.000000 NC USD 629.360000 0.0004164 N/A DCO US N 1 ICE FUTURES US ENERGY DIVISION 5493004R83R1LVX2IL36 Long N/A Emission 2026-12-24 65800.000000 USD 629.360000 N N N N/A N/A 000000000 1.000000 NC -50572.090000 -0.0334571 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3980059.000000 PEN 1130377.450000 USD 2026-03-18 -50572.090000 N N N N/A N/A 000000000 1.000000 NC -74.030000 -0.000049 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 46000.000000 USD 4137672.400000 INR 2026-01-30 -74.030000 N N N N/A N/A 000000000 1.000000 NC -0.220000 -0.0000001 N/A DFE CO N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 53262260.000000 COP 13943.000000 USD 2026-01-26 -0.220000 N N N N/A N/A 000000000 1.000000 NC USD -3556.110000 -0.0023526 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-10-30 0.000000 USD -640.000000 USD 200000.000000 USD -2916.110000 N N N N/A N/A 000000000 -2400000.000000 NC USD -699.600000 -0.0004628 N/A DIR US N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 Put Written Nomura Holdings, Inc. 549300B3CEAHYG7K8164 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.18600 02/09/26-10Y LCH 2036-02-09 0.000000 USD 0.000000 USD N/A USD N/A 4.190000 USD 2026-02-05 XXXX 1400.400000 N N N N/A N/A 000000000 1.000000 NC USD 70794.440000 0.0468356 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2055-12-17 24126.650000 USD 0.000000 USD 980000.000000 USD 46667.790000 N N N GNMA PASS THRU POOLS N/A 21H052611 2190000.000000 PA USD 2211577.280000 1.46312 Long ABS-MBS USGSE US N 2 2055-01-15 Fixed 5.5 N N N N N N GNMA PASS THRU POOLS N/A 21H030625 -4600000.000000 PA USD -4128679.720000 -2.73142 Short ABS-MBS USGSE US N 2 2056-02-19 Fixed 3 N N N N N N JP MORGAN MTGE ACQUIS CORP 2006-CH2 N/A 46629QAW6 65879.560000 PA USD 65837.860000 0.0435565 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.26621 N N N N N N N/A N/A 000000000 1.000000 NC USD 3893.500000 0.0025758 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2035-12-17 0.000000 USD -16417.300000 USD 950000.000000 USD 20310.800000 N N N N/A N/A 000000000 1.000000 NC -1668.140000 -0.0011036 N/A DFE IL N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 482617.930000 ILS 149886.000000 USD 2026-02-19 -1668.140000 N N N N/A N/A 000000000 1.000000 NC -1473.810000 -0.000975 N/A DFE PL N 2 UBS AG BFM8T61CT2L1QCEMIK50 328933.290000 PLN 90146.000000 USD 2026-01-16 -1473.810000 N N N N/A N/A 000000000 500000.000000 NC USD 22800.950000 0.0150845 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.48500 08/09/35-10Y LCH 2045-08-09 0.000000 USD 0.000000 USD N/A USD N/A 4.490000 USD 2035-08-07 XXXX -21249.050000 N N N N/A N/A 000000000 -300000.000000 NC USD -56.880000 -0.0000376 N/A DIR US N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Put Written WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.86000 01/07/26-10Y LCH 2036-01-07 0.000000 USD 0.000000 USD N/A USD N/A 3.860000 USD 2026-01-05 XXXX 636.870000 N N N FANNIE MAE REMICS 2011-60 N/A 31397U3F4 231598.410000 PA USD 202765.030000 0.134144 Long ABS-MBS USGSE US N 2 2039-08-25 None 0 N N N N N N N/A N/A 000000000 161.000000 NC USD -64070.120000 -0.042387 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2026-03-20 18076023.520000 USD -64070.120000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2006-13T1 N/A 12668BZM8 67582.440000 PA USD 31893.520000 0.0210999 Long ABS-MBS CORP US N 2 2036-05-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD 511.940000 0.0003387 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-19 0.000000 USD -445.000000 USD 100000.000000 USD 956.940000 N N N FNMA PASS THRU POOLS N/A 3140X6JR3 112104.990000 PA USD 109457.170000 0.0724138 Long ABS-MBS USGSE US N 2 2045-08-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC 69.200000 0.0000458 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 29560.660000 USD 2669484.270000 INR 2026-01-30 69.200000 N N N KKR CLO 33 LTD 33A N/A 48254QAF1 1000000.000000 PA USD 1000244.160000 0.661734 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 4.99268 N N N N N N N/A N/A 000000000 17700000.000000 NC USD 7943.760000 0.0052554 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.85700 10/09/26-1Y LCH 2027-10-09 0.000000 USD 0.000000 USD N/A USD N/A 3.860000 USD 2026-10-07 XXXX -5773.740000 N N N N/A N/A 000000000 1.000000 NC -2639.690000 -0.0017463 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 234445.000000 USD 20884360.600000 INR 2026-01-30 -2639.690000 N N N N/A N/A 000000000 1.000000 NC 2073.880000 0.001372 N/A DFE CN N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 180442.170000 USD 1272000.000000 CNY 2026-01-21 2073.880000 N N N FANNIE MAE 2010-2 N/A 31398G7B9 322261.100000 PA USD 28484.180000 0.0188443 Long ABS-MBS USGSE US N 2 2037-05-25 Floating 2.41133 N N N N N N N/A N/A 000000000 1.000000 NC USD -1530.690000 -0.0010127 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2034-06-20 0.000000 USD -3571.180000 USD 2410000.000000 USD 2040.490000 N N N N/A N/A 000000000 1.000000 NC USD -14051.170000 -0.0092959 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2030-03-27 0.000000 USD 0.000000 USD 2600000.000000 USD -14051.170000 N N N N/A N/A 000000000 1.000000 NC 40.670000 0.0000269 N/A DFE CO N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 26629220.000000 COP 6971.000000 USD 2026-02-05 40.670000 N N N GNMA PASS THRU POOLS N/A 21H050615 4380000.000000 PA USD 4370674.100000 2.89152 Long ABS-MBS USGSE US N 2 2055-01-15 Fixed 5 N N N N N N N/A N/A 000000000 2800000.000000 NC USD 9766.120000 0.006461 N/A DIR US N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Call Purchased WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.40700 03/20/26-7Y LCH 2033-03-20 0.000000 USD 0.000000 USD N/A USD N/A 3.410000 USD 2026-03-18 XXXX -4204.770000 N N N BANK OF AMERICA MTGE SEC 2003-D N/A 05948XBS9 149.010000 PA USD 146.310000 0.0000968 Long ABS-MBS CORP US N 2 2033-05-25 Floating 7.02169 N N N N N N RESIDENTIAL ASSET SEC CORP 2003-KS4 N/A 76110WRT5 78355.660000 PA USD 75757.860000 0.0501193 Long ABS-MBS CORP US N 2 2033-06-25 Floating 4.42621 N N N N N N N/A N/A 000000000 1.000000 NC 13.460000 0.0000089 N/A DFE CO N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 26733785.000000 COP 6971.000000 USD 2026-02-05 13.460000 N N N FHLMC PASS THRU POOLS N/A 31427CWQ2 98886.760000 PA USD 101958.820000 0.0674531 Long ABS-MBS USGSE US N 2 2055-10-01 Fixed 6 N N N N N N OPTION ONE MORTGAGE LOAN TR 2005-1 N/A 68389FGK4 344521.140000 PA USD 332175.290000 0.219758 Long ABS-MBS CORP US N 2 2035-02-25 Floating 4.62621 N N N N N N N/A N/A 000000000 1.000000 NC 937.030000 0.0006199 N/A DFE N/A N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 86064.870000 USD 74000.000000 EUR 2026-01-14 937.030000 N N N N/A N/A 000000000 1.000000 NC 1475.190000 0.0009759 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 317708827.800000 COP 83845.000000 USD 2026-03-02 1475.190000 N N N CHASE MORTGAGE FINANCE CORP 2006-A1 N/A 16163CAN2 152753.210000 PA USD 129918.300000 0.0859503 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.46087 N N N N N N N/A N/A 000000000 -450000.000000 NC USD -150.750000 -0.0000997 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-02-06 N/A 5.160000 USD 2026-02-04 XXXX 1076.400000 N N N POLAND GOVT 259400R9L8QEP0TPXS31 ACI2NGJ67 2540000.000000 PA 719930.810000 0.476286 Long DBT NUSS PL N 2 2029-07-25 Fixed 4.75 N N N N N N INDYMAC INDX MORTGAGE LOAN TR 2006-AR12 N/A 45661VAA4 156609.690000 PA USD 145911.260000 0.0965308 Long ABS-MBS CORP US N 2 2046-09-25 Floating 4.22621 N N N N N N N/A N/A 000000000 1.000000 NC -5291.320000 -0.0035006 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 79.800000 BRL 0.000000 BRL 6300000.000000 BRL -5371.120000 N N N N/A N/A 000000000 190.000000 NC USD -42329.020000 -0.0280037 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2026-03-31 20749335.890000 USD -42329.020000 N N N EMC MORTGAGE LOAN TRUST 2002-B N/A 268668BD1 10388.950000 PA USD 10539.710000 0.0069728 Long ABS-MBS CORP US N 2 2041-02-25 Floating 5.14621 N N N N N N N/A N/A 000000000 1.000000 NC 361.240000 0.000239 N/A DFE BR N 2 Canadian Imperial Bank of Commerce 2IGI19DL77OX0HC3ZE78 74000.000000 USD 407481.000000 BRL 2026-01-05 361.240000 N N N JAPAN GOVT 353800WZS8AXZXFUC241 ACI2W94G7 90000000.000000 PA 472040.350000 0.312289 Long DBT NUSS JP N 2 2055-03-20 Fixed 2.4 N N N N N N N/A N/A 000000000 1.000000 NC USD -2160.970000 -0.0014296 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-10-23 0.000000 USD -280.000000 USD 100000.000000 USD -1880.970000 N N N N/A N/A 000000000 1.000000 NC -1570.560000 -0.001039 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 218457.070000 ILS 67024.000000 USD 2026-01-15 -1570.560000 N N N N/A N/A 000000000 1.000000 NC USD 4222.580000 0.0027935 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 BANK OF AMERICA CORPORATION BANK OF AMERICA CORP SR UNSEC TSFR3M Y Single Leg Swap 2026-12-20 7680.520000 USD 0.000000 USD 600000.000000 USD -3457.940000 N N N N/A N/A 000000000 1.000000 NC USD -2029.480000 -0.0013426 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-10-23 0.000000 USD -297.500000 USD 100000.000000 USD -1731.980000 N N N N/A N/A 000000000 1.000000 NC -116.510000 -0.0000771 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 194505617.400000 COP 50802.000000 USD 2026-01-26 -116.510000 N N N 37 CAPITAL CLO I 2021-1A N/A 88430TAQ4 500000.000000 PA USD 500893.170000 0.331377 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 5.18454 N N N N N N WASHINGTON MUTUAL 2003-AR6 N/A 9292274D5 32246.090000 PA USD 31758.470000 0.0210105 Long ABS-MBS CORP US N 2 2033-06-25 Floating 6.16943 N N N N N N N/A N/A 000000000 1.000000 NC -1652.940000 -0.0010935 N/A DFE KR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 158491741.000000 KRW 108269.000000 USD 2026-01-08 -1652.940000 N N N GSR MORTGAGE LOAN TRUST 2005-AR6 N/A 362341SF7 26407.100000 PA USD 23892.990000 0.0158069 Long ABS-MBS CORP US N 2 2035-09-25 Floating 5.10856 N N N N N N N/A N/A 000000000 1.000000 NC -18485.870000 -0.0122297 N/A DFE CL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 481445791.000000 CLP 516755.710000 USD 2026-03-18 -18485.870000 N N N N/A N/A 000000000 1.000000 NC -29.320000 -0.0000194 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 6465.000000 USD 202367.000000 TWD 2026-02-02 -29.320000 N N N N/A N/A 000000000 1.000000 NC 100.800000 0.0000667 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2787732.000000 JPY 17911.000000 USD 2026-01-14 100.800000 N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAD7 97622.670000 PA USD 94593.400000 0.0625804 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.58556 N N N N N N N/A N/A 000000000 1.000000 NC 17.880000 0.0000118 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 8074.000000 USD 56447.350000 CNY 2026-01-05 17.880000 N N N N/A N/A 000000000 1.000000 NC USD -23257.530000 -0.0153865 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2052-11-15 0.000000 USD 0.000000 USD 1080000.000000 USD -23257.530000 N N N FANNIE MAE REMICS 2007-22 N/A 31396PT92 98533.550000 PA USD 9800.170000 0.0064835 Long ABS-MBS USGSE US N 2 2037-03-25 Floating 2.06133 N N N N N N TURKEY GOVT 5493000PCHOG3B6S3Q85 ACI2Q1SN0 100000.000000 PA 2342.480000 0.0015497 Long DBT NUSS TR N 2 2026-05-20 Floating 42.56 N N N N N N N/A N/A 000000000 1.000000 NC -781.470000 -0.000517 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 71268.000000 USD 6350442.040000 INR 2026-01-30 -781.470000 N N N FREDDIE MAC 3311 N/A 31397H6P8 4236.090000 PA USD 4187.380000 0.0027703 Long ABS-MBS USGSE US N 2 2037-05-15 Floating 4.39833 N N N N N N N/A N/A 000000000 1.000000 NC -3907.440000 -0.0025851 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1951918.260000 USD 10815383.890000 BRL 2026-03-03 -3907.440000 N N N N/A N/A 000000000 1.000000 NC 1780.870000 0.0011782 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1522293.000000 TWD 50249.000000 USD 2026-01-22 1780.870000 N N N UMBS PASS THRU POOLS N/A 01F062622 17620000.000000 PA USD 18316236.860000 12.1175 Long ABS-MBS USGSE US N 2 2056-02-15 Fixed 6.5 N N N N N N N/A N/A 000000000 1.000000 NC 391.150000 0.0002588 N/A DFE NZ N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 121000.000000 NZD 70079.450000 USD 2026-01-14 391.150000 N N N N/A N/A 000000000 1.000000 NC -2430.940000 -0.0016082 N/A DFE IL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 294803.310000 ILS 90136.000000 USD 2026-01-15 -2430.940000 N N N BANK OF AMERICA MTGE SECURITIES 2004-L N/A 05949AZE3 7425.000000 PA USD 7156.370000 0.0047345 Long ABS-MBS CORP US N 2 2035-01-25 Floating 5.87016 N N N N N N BANC OF AMERICA FUNDING CORP 2006-6 N/A 05950RBJ7 18479.480000 PA USD 17345.630000 0.0114754 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC USD -1966.070000 -0.0013007 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-01 0.000000 USD -332.500000 USD 100000.000000 USD -1633.570000 N N N N/A N/A 000000000 1.000000 NC 1807.550000 0.0011958 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 2234741.000000 TWD 72959.230000 USD 2026-01-22 1807.550000 N N N N/A N/A 000000000 1.000000 NC -155.070000 -0.0001026 N/A DFE CH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 24000.000000 CHF 30170.440000 USD 2026-01-14 -155.070000 N N N N/A N/A 000000000 700000.000000 NC USD 36350.440000 0.0240484 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.69300 08/29/35-10Y LCH 2045-08-29 0.000000 USD 0.000000 USD N/A USD N/A 4.690000 USD 2035-08-27 XXXX -23954.560000 N N N N/A N/A 000000000 -2600000.000000 NC USD -1977.560000 -0.0013083 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 6.0% MAR 30YR N/A 102.140000 USD 2026-03-05 XXXX 4624.000000 N N N WASHINGTON MUTUAL 2006-AR17 N/A 92925DAB6 33997.070000 PA USD 30434.910000 0.0201349 Long ABS-MBS CORP US N 2 2046-12-25 Floating 3.87828 N N N N N N FREDDIE MAC REMICS 5484 N/A 3137HHKV2 576650.120000 PA USD 578682.700000 0.38284 Long ABS-MBS USGSE US N 2 2054-12-25 Floating 5.02419 N N N N N N FNMA PASS THRU POOLS N/A 3140NW2Q7 501000.000000 PA USD 505346.910000 0.334323 Long ABS-MBS USGSE US N 2 2029-12-01 Fixed 4.3 N N N N N N N/A N/A 000000000 110000.000000 NC USD 726.440000 0.0004806 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Purchased BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-02-19 N/A 1423.000000 USD 2026-02-12 XXXX 43.340000 N N N SANDSTONE PEAK LTD 2021-1A N/A 800130AN6 500000.000000 PA USD 500909.540000 0.331388 Long ABS-CBDO CORP KY N 2 2034-10-15 Floating 5.18454 N N N N N N CITIMORTGAGE ALTERNATIVE LOAN TRUST 2007-A4 N/A 12566VAJ1 213613.240000 PA USD 178402.790000 0.118026 Long ABS-MBS CORP US N 2 2037-04-25 Floating 4.44621 N N N N N N FNMA PASS THRU POOLS N/A 3140LLW72 800000.000000 PA USD 817769.440000 0.541013 Long ABS-MBS USGSE US N 2 2028-10-01 Fixed 4.72 N N N N N N JP MORGAN MORTGAGE TRUST 2005-S3 N/A 466247ZP1 20274.590000 PA USD 8867.480000 0.0058665 Long ABS-MBS CORP US N 2 2036-01-25 Fixed 5.75 N N N N N N RESIDENTIAL FUNDING MTGE SEC 2007-SA2 N/A 74958XAB0 195146.440000 PA USD 169471.450000 0.112118 Long ABS-MBS CORP US N 2 2037-04-25 Floating 5.67196 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 BYY9RYII7 13000000.000000 PA 819251.210000 0.541994 Long DBT NUSS ZA N 2 2035-02-28 Fixed 8.875 N N N N N N N/A N/A 000000000 1.000000 NC -60.250000 -0.0000399 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 97260429.000000 COP 25401.000000 USD 2026-01-26 -60.250000 N N N N/A N/A 000000000 -2400000.000000 NC USD -13359.120000 -0.008838 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.72050 04/01/26-7Y LCH 2033-04-01 0.000000 USD 0.000000 USD N/A USD N/A 3.720000 USD 2026-03-30 XXXX -1839.120000 N N N NOMURA ASSET ACCEPTANCE CORP 2005-AP2 N/A 65535VLL0 33222.130000 PA USD 15927.080000 0.0105369 Long ABS-MBS CORP US N 2 2035-05-25 Variable 5.476 N N N N N N N/A N/A 000000000 1.000000 NC -11.080000 -0.0000073 N/A DFE CO N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 26942915.000000 COP 6971.000000 USD 2026-03-05 -11.080000 N N N N/A N/A 000000000 1.000000 NC -5.090000 -0.0000034 N/A DFE CO N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 24276050.000000 COP 6350.000000 USD 2026-01-26 -5.090000 N N N N/A N/A 000000000 -2400000.000000 NC USD -11456.640000 -0.0075794 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Written DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.74200 03/26/26-7Y LCH 2033-03-26 0.000000 USD 0.000000 USD N/A USD N/A 3.740000 USD 2026-03-24 XXXX -293.850000 N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAJ4 4263.720000 PA USD 4097.440000 0.0027108 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.19147 N N N N N N VIPER ENERGY PARTNERS LLC 54930010ZZ02MRGRI973 92764MAB0 100000.000000 PA USD 102115.000000 0.0675564 Long DBT CORP US N 2 2035-08-01 Fixed 5.7 N N N N N N N/A N/A 000000000 1.000000 NC -226.610000 -0.0001499 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2029-01-02 0.000000 BRL 0.000000 BRL 300000.000000 BRL -226.610000 N N N N/A N/A 000000000 1.000000 NC -18603.080000 -0.0123073 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2033-09-20 0.000000 AUD -16590.890000 AUD 3900000.000000 AUD -2012.190000 N N N N/A N/A 000000000 1900000.000000 NC USD 13556.310000 0.0089685 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.25500 08/05/26-10Y LCH 2036-08-05 0.000000 USD 0.000000 USD N/A USD N/A 4.250000 USD 2026-08-03 XXXX -14409.320000 N N N THORNBURG MORTGAGE SECURITIES TR 2004-4 N/A 885220GF4 70115.190000 PA USD 68930.410000 0.0456024 Long ABS-MBS CORP US N 2 2044-12-25 Floating 5.28456 N N N N N N FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 2023-2 N/A 35104AAB4 56168.200000 PA USD 56362.260000 0.0372877 Long ABS-O CORP US N 2 2028-05-15 Fixed 5.99 N N N N N N N/A N/A 000000000 1.000000 NC -21885.360000 -0.0144787 N/A DFE ZA N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 8518454.470000 ZAR 491768.000000 USD 2026-01-26 -21885.360000 N N N N/A N/A 000000000 -200000.000000 NC USD -18.100000 -0.000012 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.62500 01/12/26-10Y LCH 2036-01-12 0.000000 USD 0.000000 USD N/A USD N/A 3.630000 USD 2026-01-08 XXXX 491.900000 N N N N/A N/A 000000000 1.000000 NC 6969.520000 0.0046108 N/A DFE JP N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 84200000.000000 JPY 544904.500000 USD 2026-01-14 6969.520000 N N N N/A N/A 000000000 1.000000 NC USD -400.700000 -0.0002651 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-03 0.000000 USD -192.000000 USD 50000.000000 USD -208.700000 N N N WASHINGTON MUTUAL MTGE P/T 2006-AR2 N/A 93934FMN9 77526.470000 PA USD 71431.550000 0.0472571 Long ABS-MBS CORP US N 2 2046-04-25 Floating 4.96927 N N N N N N FREMONT HOME LOAN TRUST 2006-D N/A 35729VAA5 412530.250000 PA USD 246520.980000 0.163091 Long ABS-MBS CORP US N 2 2036-11-25 Floating 4.12621 N N N N N N N/A N/A 000000000 1.000000 NC USD -19696.300000 -0.0130305 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2028-08-25 0.000000 USD -17956.970000 USD 13000000.000000 USD -1739.330000 N N N N/A N/A 000000000 1.000000 NC 2980.290000 0.0019717 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3126073.000000 TWD 102511.000000 USD 2026-01-22 2980.290000 N N N N/A N/A 000000000 1.000000 NC USD 26781.180000 0.0177177 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2035-09-17 31898.550000 USD 0.000000 USD 7140000.000000 USD -5117.370000 N N N COUNTRYWIDE HOME LOANS 2004-15 N/A 12669FL50 11586.550000 PA USD 11556.450000 0.0076454 Long ABS-MBS CORP US N 2 2034-10-20 Floating 6.58887 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 ACI2GGZ75 2400000.000000 PA 814811.820000 0.539057 Long DBT NUSS PE N 2 2033-08-12 Fixed 7.3 N N N N N N N/A N/A 000000000 100000.000000 NC USD 419.690000 0.0002777 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.23900 08/10/26-10Y LCH 2036-08-10 0.000000 USD 0.000000 USD N/A USD N/A 3.240000 USD 2026-08-06 XXXX -880.310000 N N N WELLS FARGO MTGE BK SEC TR 2006-AR12 N/A 94984GAD9 4113.060000 PA USD 3960.800000 0.0026204 Long ABS-MBS CORP US N 2 2036-09-25 Floating 6.19435 N N N N N N N/A N/A 000000000 1.000000 NC -463.790000 -0.0003068 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2035-01-06 0.000000 GBP -274.180000 GBP 100000.000000 GBP -189.610000 N N N N/A N/A 000000000 1.000000 NC -23115.370000 -0.0152925 N/A DFE PE N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 2026343.220000 PEN 578690.660000 USD 2026-02-23 -23115.370000 N N N WASHINGTON MUTUAL 2005-AR7 N/A 92922FQ50 39108.010000 PA USD 40783.790000 0.0269814 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.50185 N N N N N N N/A N/A 000000000 1.000000 NC 123.360000 0.0000816 N/A DFE CN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 110361.990000 USD 770000.000000 CNY 2026-01-21 123.360000 N N N N/A N/A 000000000 1.000000 NC 200.430000 0.0001326 N/A DFE CH N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 32000.000000 CHF 40634.450000 USD 2026-01-14 200.430000 N N N FANNIE MAE REMICS 2007-32 N/A 31396VDT2 599790.530000 PA USD 81058.630000 0.0536261 Long ABS-MBS USGSE US N 2 2037-04-25 Floating 2.80133 N N N N N N N/A N/A 000000000 16500000.000000 NC USD 7297.950000 0.0048281 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.09300 01/06/27-1Y LCH 2028-01-06 0.000000 USD 0.000000 USD N/A USD N/A 4.090000 USD 2027-01-04 XXXX -4417.050000 N N N N/A N/A 000000000 1.000000 NC USD 382661.840000 0.253158 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2033-06-21 516498.300000 USD 0.000000 USD 7900000.000000 USD -133836.460000 N N N N/A N/A 000000000 1.000000 NC -20724.820000 -0.013711 N/A DIR ZA N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A SAFE South Africa Johannesburg Interbank Agreed Rate 3 Month Y 2031-02-28 0.000000 ZAR -7113.340000 ZAR 13890000.000000 ZAR -13611.480000 N N N GSR MORTGAGE LOAN TRUST 2005-AR4 N/A 362341FR5 3555.360000 PA USD 3424.080000 0.0022653 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.00139 N N N N N N MORGAN STANLEY MTGE LN TRUST 2006-11 N/A 61749WAP2 122200.480000 PA USD 48690.000000 0.0322119 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6 N N N N N N ROMANIA GOVT 315700IASY927EDWBK92 ACI2W14X7 300000.000000 PA 367790.590000 0.24332 Long DBT NUSS RO N 2 2039-07-11 Fixed 6.75 N N N N N N OCP EURO CLO 2022-6 DAC 6A N/A ACI2YHRS6 500000.000000 PA 588093.870000 0.389066 Long ABS-CBDO CORP IE N 2 2036-07-20 Floating 3.244 N N N N N N EXETER AUTOMOBILE RECEIVABLES TRUST 2024-5A N/A 30165BAF0 500000.000000 PA USD 502350.500000 0.332341 Long ABS-O CORP US N 2 2030-01-15 Fixed 4.64 N N N N N N THORNBURG MORTGAGE SECURITIES TR 2007-4 N/A 88522YAB5 267.670000 PA USD 265.940000 0.0001759 Long ABS-MBS CORP US N 2 2037-09-25 Floating 4.05757 N N N N N N N/A N/A 000000000 -2100000.000000 NC USD -13484.730000 -0.0089211 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.61700 03/04/26-7Y LCH 2033-03-04 0.000000 USD 0.000000 USD N/A USD N/A 3.620000 USD 2026-03-02 XXXX -2144.730000 N N N N/A N/A 000000000 1.000000 NC 1823.390000 0.0012063 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 88462.000000 USD 324142.460000 PLN 2026-01-16 1823.390000 N N N WASHINGTON MUTUAL 2004-AR14 N/A 939336V91 47912.750000 PA USD 46663.120000 0.030871 Long ABS-MBS CORP US N 2 2035-01-25 Floating 4.96563 N N N N N N N/A N/A 000000000 500000.000000 NC USD 21958.250000 0.014527 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.42700 08/08/35-10Y LCH 2045-08-08 0.000000 USD 0.000000 USD N/A USD N/A 4.430000 USD 2035-08-06 XXXX -22041.750000 N N N N/A N/A 000000000 -1700000.000000 NC USD -1271.600000 -0.0008413 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Written UMBS PASS THRU POOLS FNMA TBA 6.0% MAR 30YR N/A 102.130000 USD 2026-03-05 XXXX 3310.430000 N N N N/A N/A 000000000 1.000000 NC -146.700000 -0.0000971 N/A DFE KR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 39753385.000000 KRW 27424.260000 USD 2026-01-08 -146.700000 N N N N/A N/A 000000000 1900000.000000 NC USD 112608.440000 0.0744986 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.48500 08/02/35-10Y LCH 2045-08-02 0.000000 USD 0.000000 USD N/A USD N/A 4.490000 USD 2035-07-31 XXXX -54734.060000 N N N N/A N/A 000000000 -300000.000000 NC USD -0.030000 0 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written UMBS PASS THRU POOLS FNMA TBA 4.0% JAN 30YR N/A 97.380000 USD 2026-01-07 XXXX 832.000000 N N N FNMA PASS THRU POOLS N/A 3140JCM76 1300000.000000 PA USD 1327752.660000 0.878404 Long ABS-MBS USGSE US N 2 2031-09-01 Variable 4.70513 N N N N N N UNITED AIRLINES 2024-1 CLASS AA PASS THROUGH TRUST N/A 90932WAA1 96552.150000 PA USD 99593.390000 0.0658882 Long DBT CORP US N 2 2038-08-15 Fixed 5.45 N N N N N N MERRILL LYNCH ALTERNATIVE NT 2007-A2 N/A 59024FAD6 416116.200000 PA USD 97931.450000 0.0647887 Long ABS-MBS CORP US N 2 2037-03-25 Floating 4.06621 N N N N N N N/A N/A 000000000 1.000000 NC 104.900000 0.0000694 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1441479.000000 TWD 46000.000000 USD 2026-01-22 104.900000 N N N N/A N/A 000000000 -3400000.000000 NC USD -4232.460000 -0.0028001 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG45 (V1 ONLY) 5Y SP Single Leg Swap 2030-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.530000 USD 2026-01-21 XXXX -149.060000 N N N JAMESTOWN CLO XVI LTD 2021-16A N/A 47048RAL9 700000.000000 PA USD 700141.440000 0.463194 Long ABS-CBDO CORP KY N 2 2034-07-25 Floating 4.97798 N N N N N N BANK OF AMERICA MTGE SECURITIES 2004-E N/A 05949AHA1 10141.090000 PA USD 9724.590000 0.0064335 Long ABS-MBS CORP US N 2 2034-06-25 Floating 5.64076 N N N N N N N/A N/A 000000000 1.000000 NC -1888.230000 -0.0012492 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-03-27 0.000000 EUR -259.080000 EUR 100000.000000 EUR -1629.150000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912797SQ1 25000.000000 PA USD 24904.330000 0.016476 Long DBT UST US N 2 2026-02-10 None 0 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -160.220000 -0.000106 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.92750 01/20/26-10Y LCH 2036-01-20 0.000000 USD 0.000000 USD N/A USD N/A 3.930000 USD 2026-01-15 XXXX 380.280000 N N N N/A N/A 000000000 1.000000 NC -1871.850000 -0.0012384 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 421987.800000 PLN 115667.000000 USD 2026-01-16 -1871.850000 N N N N/A N/A 000000000 1.000000 NC -206.170000 -0.0001364 N/A DIR CZ N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 CZK-PRIBOR-Reference Banks 6M N/A N/A Y 2034-11-01 0.000000 CZK -100.220000 CZK 200000.000000 CZK -105.950000 N N N N/A N/A 000000000 2300000.000000 NC USD 9936.920000 0.006574 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.44200 03/26/26-7Y LCH 2033-03-26 0.000000 USD 0.000000 USD N/A USD N/A 3.440000 USD 2026-03-24 XXXX -1337.590000 N N N UMBS PASS THRU POOLS N/A 01F030629 -220000.000000 PA USD -194467.970000 -0.128655 Short ABS-MBS USGSE US N 2 2056-02-12 Fixed 3 N N N N N N DEUTSCHE ALT-A SECURITIES INC 2006-AR6 N/A 25150RAF2 690557.950000 PA USD 608645.550000 0.402663 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.22621 N N N N N N PETROLEOS MEXICANOS (PEMEX) 549300CAZKPF4HKMPX17 71654QCL4 100000.000000 PA USD 78562.020000 0.0519744 Long DBT CORP MX N 2 2048-02-12 Fixed 6.35 N N N N N N N/A N/A 000000000 1.000000 NC 329961.270000 0.218293 N/A DCR N/A N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A ITRAXX EUROPE CROSSOVER SERIES 44 Y Single Leg Swap 2030-12-20 323616.350000 EUR 0.000000 EUR 1400000.000000 EUR 6344.920000 N N N N/A N/A 000000000 1.000000 NC -751.920000 -0.0004974 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1007922.320000 PEN 298811.870000 USD 2026-02-02 -751.920000 N N N IMPAC SECURED ASSETS CMN OWNER TRUST 2005-1 N/A 45254TRR7 54173.120000 PA USD 52006.730000 0.0344062 Long ABS-MBS CORP US N 2 2035-07-25 Floating 6.18707 N N N N N N N/A N/A 000000000 -15.000000 NC USD -13918.750000 -0.0092083 N/A DE US N 1 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Short N/A S&P 500 TOTAL RETURN INDEX 2026-01-16 -5027145.000000 USD -13918.750000 N N N N/A N/A 000000000 1.000000 NC 323.640000 0.0002141 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 154868.930000 USD 132000.000000 EUR 2026-01-14 323.640000 N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2023-3A LLC N/A 76089RAA2 157230.120000 PA USD 157487.320000 0.104189 Long ABS-O CORP US N 2 2032-01-26 Fixed 7.13 N N N N N N WASHING MUTUAL MTGE P/T 2006-7 N/A 93935HAB3 679698.430000 PA USD 175545.920000 0.116136 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.00621 N N N N N N N/A N/A 000000000 1.000000 NC 1415.780000 0.0009366 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 55429.060000 USD 204084.260000 PLN 2026-01-16 1415.780000 N N N N/A N/A 000000000 1.000000 NC 3784.190000 0.0025035 N/A DFE PL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 214747.000000 USD 784612.520000 PLN 2026-01-23 3784.190000 N N N AMMC CLO 24 LTD N/A 00177LAJ9 600000.000000 PA USD 600153.690000 0.397045 Long ABS-CBDO CORP KY N 2 2035-01-20 Floating 5.08444 N N N N N N GSR MORTGAGE LOAN TRUST 2007-1F N/A 3622MPAN8 8140.100000 PA USD 18981.280000 0.0125575 Long ABS-MBS CORP US N 2 2037-01-25 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 650.240000 0.0004302 N/A DFE PL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 44335.160000 USD 161515.200000 PLN 2026-01-23 650.240000 N N N N/A N/A 000000000 1.000000 NC 585.980000 0.0003877 N/A DFE CO N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 244042029.000000 COP 63503.000000 USD 2026-03-26 585.980000 N N N AREIT TRUST 2022-CRE6 N/A 04002VAA9 267748.910000 PA USD 267420.110000 0.176918 Long ABS-MBS CORP KY N 2 2037-01-20 Floating 5.18671 N N N N N N N/A N/A 000000000 14.000000 NC USD -18284.940000 -0.0120968 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2026-03-20 1612843.750000 USD -18284.940000 N N N FANNIE MAE REMICS 2007-25 N/A 31396VCB2 3089.200000 PA USD 3053.840000 0.0020203 Long ABS-MBS USGSE US N 2 2037-04-25 Floating 4.31867 N N N N N N N/A N/A 000000000 -2700000.000000 NC USD -896.400000 -0.000593 N/A DFE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-18 N/A 7.850000 USD 2026-08-14 XXXX 576.000000 N N N N/A N/A 000000000 1.000000 NC -9695.310000 -0.0064141 N/A DFE MX N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 6489724.020000 MXN 349865.440000 USD 2026-01-29 -9695.310000 N N N N/A N/A 000000000 1.000000 NC USD -631.820000 -0.000418 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-05 0.000000 USD -352.500000 USD 100000.000000 USD -279.320000 N N N N/A N/A 000000000 1.000000 NC 148.680000 0.0000984 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 110000.000000 USD 768375.190000 CNY 2026-01-05 148.680000 N N N N/A N/A 000000000 1.000000 NC USD -2716.620000 -0.0017972 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-10-15 0.000000 USD -356.250000 USD 100000.000000 USD -2360.370000 N N N N/A N/A 000000000 1.000000 NC 249.260000 0.0001649 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 150000.000000 USD 4718052.000000 TWD 2026-01-20 249.260000 N N N N/A N/A 000000000 1.000000 NC 200.430000 0.0001326 N/A DFE TH N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 7308.320000 USD 236342.960000 THB 2026-01-21 200.430000 N N N UMBS PASS THRU POOLS N/A 01F062630 16450000.000000 PA USD 17114784.800000 11.3227 Long ABS-MBS USGSE US N 2 2055-03-15 Fixed 6.5 N N N N N N IMPAC CMB TR 2004-10 N/A 45254NLJ4 127169.710000 PA USD 124876.130000 0.0826146 Long ABS-MBS CORP US N 2 2035-03-25 Floating 4.48621 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 B1W32LII9 23070000.000000 PA 1191128.060000 0.788017 Long DBT NUSS ZA N 2 2036-03-31 Fixed 6.25 N N N N N N N/A N/A 000000000 104300000.000000 NC USD 337744.260000 0.223442 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.16250 08/25/27-1Y LCH 2028-08-25 0.000000 USD 0.000000 USD N/A USD N/A 3.160000 USD 2027-08-23 XXXX -186102.490000 N N N N/A N/A 000000000 1.000000 NC -2.050000 -0.0000014 N/A DFE CO N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 26908060.000000 COP 6971.000000 USD 2026-03-05 -2.050000 N N N EGYPTIAN GOVT 529900GFIVH4086NMH82 ACI2VM0V0 11200000.000000 PA 235134.260000 0.155558 Long DBT NUSS EG N 2 2028-03-04 Fixed 21.954 N N N N N N N/A N/A 000000000 1.000000 NC -1081.300000 -0.0007154 N/A DFE IN N 2 STATE STREET CORPORATION 549300ZFEEJ2IP5VME73 89000.000000 USD 7920982.200000 INR 2026-01-30 -1081.300000 N N N N/A N/A 000000000 1.000000 NC 126.040000 0.0000834 N/A DFE CO N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 48473366.500000 COP 12701.000000 USD 2026-02-26 126.040000 N N N COUNTRYWIDE HOME LOANS 2007-5 N/A 12544VCN7 11864.520000 PA USD 5538.640000 0.0036642 Long ABS-MBS CORP US N 2 2037-05-25 Fixed 5.75 N N N N N N WASHINGTON MUTUAL 2005-AR12 N/A 92922F3L0 22825.880000 PA USD 20949.220000 0.0138594 Long ABS-MBS CORP US N 2 2035-10-25 Floating 4.50872 N N N N N N N/A N/A 000000000 1.000000 NC -3751.280000 -0.0024817 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 2612397.470000 CNY 371095.000000 USD 2026-01-21 -3751.280000 N N N TRINITAS EURO CLO V DAC 1A N/A ACI2XTDT4 500000.000000 PA 588043.930000 0.389033 Long ABS-CBDO CORP IE N 2 2039-07-15 Floating 3.232 N N N N N N N/A N/A 000000000 1.000000 NC 316.290000 0.0002092 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 39545.130000 USD 3591290.980000 INR 2026-01-30 316.290000 N N N SMALL BUSINESS ADMIN PART CERTS 2008-20C N/A 83162CRR6 3745.510000 PA USD 3798.350000 0.0025129 Long ABS-O CORP US N 2 2028-03-01 Fixed 5.49 N N N N N N N/A N/A 000000000 1.000000 NC -91.830000 -0.0000608 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 97381083.750000 COP 25401.000000 USD 2026-01-26 -91.830000 N N N FNMA PASS THRU POOLS N/A 3138EPVS0 200567.890000 PA USD 193933.230000 0.128301 Long ABS-MBS USGSE US N 2 2045-01-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC -5854.880000 -0.0038734 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 1100000.000000 BRL 190761.090000 USD 2026-04-02 -5854.880000 N N N N/A N/A 000000000 1.000000 NC 2402.390000 0.0015894 N/A DFE PL N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 94592.000000 USD 348229.100000 PLN 2026-01-16 2402.390000 N N N N/A N/A 000000000 1.000000 NC USD 994.130000 0.0006577 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-11-19 0.000000 USD -449.000000 USD 100000.000000 USD 1443.130000 N N N N/A N/A 000000000 11900000.000000 PA USD 11900000.000000 7.87271 Long RA US N 2 Repurchase N 3.870000 2026-01-02 11782200.000000 USD 11932469.120000 USD UST N N N N/A N/A 000000000 1.000000 NC -5810.450000 -0.003844 N/A DFE ZA N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 2869085.890000 ZAR 167192.250000 USD 2026-01-26 -5810.450000 N N N N/A N/A 000000000 1.000000 NC 506.490000 0.0003351 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 39739.000000 USD 731515.510000 MXN 2026-04-09 506.490000 N N N N/A N/A 000000000 1.000000 NC 11175.430000 0.0073934 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 391468.630000 USD 17777569.160000 TRY 2026-02-11 11175.430000 N N N FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2005-AA10 N/A 32051GA88 48912.800000 PA USD 36550.820000 0.024181 Long ABS-MBS CORP US N 2 2035-12-25 Floating 5.39479 N N N N N N VICI PROPERTIES LP 254900X4QE7SGKQLLN38 925650AB9 100000.000000 PA USD 101012.700000 0.0668272 Long DBT CORP US N 2 2028-02-15 Fixed 4.75 N N N N N N N/A N/A 000000000 1.000000 NC -115.920000 -0.0000767 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 50802.000000 USD 191472738.000000 COP 2026-01-02 -115.920000 N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 91282CNT4 70000.000000 PA USD 70514.060000 0.0466501 Long DBT UST US N 2 2035-08-15 Fixed 4.25 N N N N N N N/A N/A 000000000 1.000000 NC -3053.790000 -0.0020203 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-11-20 0.000000 EUR -398.500000 EUR 100000.000000 EUR -2655.290000 N N N N/A N/A 000000000 1.000000 NC -4.680000 -0.0000031 N/A DFE CO N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 26803495.000000 COP 6971.000000 USD 2026-02-05 -4.680000 N N N N/A N/A 000000000 1.000000 NC -488.470000 -0.0003232 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 146000.000000 PLN 40177.810000 USD 2026-01-16 -488.470000 N N N N/A N/A 000000000 200000.000000 NC USD 509.900000 0.0003373 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.04750 08/12/26-10Y LCH 2036-08-12 0.000000 USD 0.000000 USD N/A USD N/A 3.050000 USD 2026-08-10 XXXX -1090.100000 N N N N/A N/A 000000000 1300000.000000 NC USD 77047.880000 0.0509727 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.48500 08/02/35-10Y LCH 2045-08-02 0.000000 USD 0.000000 USD N/A USD N/A 4.490000 USD 2035-07-31 XXXX -37417.120000 N N N N/A N/A 000000000 1.000000 NC -2847.840000 -0.0018841 N/A DFE PE N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 1017755.810000 PEN 298339.630000 USD 2026-05-26 -2847.840000 N N N N/A N/A 000000000 1.000000 NC USD -2307.160000 -0.0015264 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-24 0.000000 USD -588.000000 USD 200000.000000 USD -1719.160000 N N N N/A N/A 000000000 1.000000 NC 78.790000 0.0000521 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 37683576.480000 COP 9768.000000 USD 2026-04-06 78.790000 N N N N/A N/A 000000000 1.000000 NC USD 483632.010000 0.319957 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2053-06-21 106045.970000 USD 0.000000 USD 1980000.000000 USD 377586.040000 N N N THORNBURG MORTGAGE SECURITIES TR 2004-1 N/A 885220EW9 43104.980000 PA USD 42242.260000 0.0279463 Long ABS-MBS CORP US N 2 2044-03-25 Floating 3.01718 N N N N N N N/A N/A 000000000 104300000.000000 NC USD 483816.410000 0.320079 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Put Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.16250 08/25/27-1Y LCH 2028-08-25 0.000000 USD 0.000000 USD N/A USD N/A 3.160000 USD 2027-08-23 XXXX -40030.340000 N N N N/A N/A 000000000 1.000000 NC -719.490000 -0.000476 N/A DFE CH N 2 UBS AG BFM8T61CT2L1QCEMIK50 39936.140000 CHF 49742.340000 USD 2026-01-14 -719.490000 N N N N/A N/A 000000000 -2770478.210000 PA USD -2771694.140000 -1.83368 Short RA US N 2 Reverse repurchase N 3.950000 2026-01-07 2905048.530000 USD 2846140.310000 USD AMBS N N N N/A N/A 000000000 1.000000 NC 1474.020000 0.0009752 N/A DFE CN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 140435.080000 USD 989000.000000 CNY 2026-01-21 1474.020000 N N N N/A N/A 000000000 -1900000.000000 NC USD -23017.360000 -0.0152276 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Put Written JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.56000 04/30/26-7Y LCH 2033-04-30 0.000000 USD 0.000000 USD N/A USD N/A 3.560000 USD 2026-04-28 XXXX -5284.030000 N N N N/A N/A 000000000 1.000000 NC -490.980000 -0.0003248 N/A DFE PE N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 402710.800000 PEN 119000.000000 USD 2026-03-18 -490.980000 N N N N/A N/A 000000000 1.000000 NC -32871.820000 -0.0217471 N/A DFE ZA N 2 UBS AG BFM8T61CT2L1QCEMIK50 11739101.840000 ZAR 674983.000000 USD 2026-01-26 -32871.820000 N N N N/A N/A 000000000 1.000000 NC 5061.930000 0.0033488 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 4359450.000000 TWD 143862.000000 USD 2026-01-22 5061.930000 N N N MLCC MORTGAGE INVESTORS INC 2005-1 N/A 59020UVJ1 9188.720000 PA USD 8430.870000 0.0055776 Long ABS-MBS CORP US N 2 2035-04-25 Floating 5.01096 N N N N N N N/A N/A 000000000 1.000000 NC -3.970000 -0.0000026 N/A DFE CO N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 37196544.000000 COP 9768.000000 USD 2026-01-20 -3.970000 N N N N/A N/A 000000000 1.000000 NC -1194.180000 -0.00079 N/A DFE JP N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 1488270.000000 USD 232763790.000000 JPY 2026-01-14 -1194.180000 N N N CHASEFLEX TRUST 2007-3 N/A 16165AAD6 1374682.870000 PA USD 1224066.980000 0.809809 Long ABS-MBS CORP US N 2 2037-07-25 Floating 4.44621 N N N N N N N/A N/A 000000000 1.000000 NC 3064.030000 0.0020271 N/A DFE TW N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 3118826.000000 TWD 102364.000000 USD 2026-01-22 3064.030000 N N N KKR CLO LTD 16 N/A 48251BBE9 500000.000000 PA USD 500167.780000 0.330897 Long ABS-CBDO CORP KY N 2 2034-10-20 Floating 4.9882 N N N N N N N/A N/A 000000000 -2300000.000000 NC USD -708.170000 -0.0004685 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.18000 02/09/26-10Y LCH 2036-02-09 0.000000 USD 0.000000 USD N/A USD N/A 4.180000 USD 2026-02-05 XXXX 1361.830000 N N N N/A N/A 000000000 1.000000 NC -275.730000 -0.0001824 N/A DFE KR N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 28220169.000000 KRW 19296.370000 USD 2026-01-08 -275.730000 N N N IVORY COAST GOVT (AKA: COTE D'IVOIRE) 254900ICW11T82O6H590 ACI11JW62 200000.000000 PA 213007.350000 0.14092 Long DBT NUSS CI N 2 2048-03-22 Fixed 6.625 N N N N N N CAPITAL FOUR US CLO 2022-1A N/A 14016CAN6 500000.000000 PA USD 503670.520000 0.333214 Long ABS-CBDO CORP JE N 2 2037-01-20 Floating 5.78444 N N N N N N N/A N/A 000000000 -200000.000000 NC USD -1694.360000 -0.0011209 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.67400 04/29/26-7Y LCH 2033-04-29 0.000000 USD 0.000000 USD N/A USD N/A 3.670000 USD 2026-04-27 XXXX -361.030000 N N N N/A N/A 000000000 1.000000 NC -19205.940000 -0.0127061 N/A DFE CL N 2 UBS AG BFM8T61CT2L1QCEMIK50 520042704.000000 CLP 558945.300000 USD 2026-03-18 -19205.940000 N N N N/A N/A 000000000 1.000000 NC USD 1554156.450000 1.02819 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-06-15 1552991.990000 USD 0.000000 USD 13100000.000000 USD 1164.460000 N N N N/A N/A 000000000 450000.000000 NC USD 2437.200000 0.0016124 N/A DFE US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-02-06 N/A 5.390000 USD 2026-02-04 XXXX -4254.300000 N N N N/A N/A 000000000 -200000.000000 NC USD -98.020000 -0.0000648 N/A DIR US N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 Put Written Nomura Holdings, Inc. 549300B3CEAHYG7K8164 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.91900 01/14/26-10Y LCH 2036-01-14 0.000000 USD 0.000000 USD N/A USD N/A 3.920000 USD 2026-01-12 XXXX 374.480000 N N N FHLMC PASS THRU POOLS N/A 31427MGR6 141256.490000 PA USD 142404.050000 0.0942105 Long ABS-MBS USGSE US N 2 2055-01-01 Fixed 5 N N N N N N N/A N/A 000000000 -22300000.000000 NC USD -41558.280000 -0.0274938 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG45 (V1 ONLY) 5Y SP Single Leg Swap 2030-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.530000 USD 2026-05-20 XXXX -23.280000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI0725J7 4400000.000000 PA 271731.880000 0.17977 Long DBT NUSS ZA N 2 2030-01-31 Fixed 8 N N N N N N N/A N/A 000000000 1.000000 NC -699.000000 -0.0004624 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 100000.000000 USD 3115569.000000 TWD 2026-01-12 -699.000000 N N N N/A N/A 000000000 1.000000 NC USD -70775.510000 -0.0468231 N/A DCR US N 3 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 ABX.HE.AAA.06-2 N/A N/A Y Single Leg Swap 2046-05-25 0.000000 USD -247629.730000 USD 900426.690000 USD 176854.220000 N N N N/A N/A 000000000 1.000000 NC -477.650000 -0.000316 N/A DIR CL N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 Sinacofi Chile Interbank Rate N/A N/A Y 2028-10-01 0.000000 CLP 0.000000 CLP 600000000.000000 CLP -477.650000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI08MN29 1800000.000000 PA 111513.040000 0.0737739 Long DBT NUSS ZA N 2 2032-03-31 Fixed 8.25 N N N N N N N/A N/A 000000000 1.000000 NC 6540.000000 0.0043267 N/A DFE MX N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 310457.210000 USD 5749000.000000 MXN 2026-03-18 6540.000000 N N N N/A N/A 000000000 1.000000 NC -1271.280000 -0.000841 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 121665.000000 USD 10846799.750000 INR 2026-01-30 -1271.280000 N N N UMBS PASS THRU POOLS N/A 01F052623 3150000.000000 PA USD 3191338.140000 2.1113 Long ABS-MBS USGSE US N 2 2056-02-15 Fixed 5.5 N N N N N N FHLMC PASS THRU POOLS N/A 3133BH3J3 345808.610000 PA USD 340279.130000 0.225119 Long ABS-MBS USGSE US N 2 2052-08-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -3.060000 -0.000002 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 97041980.400000 COP 25401.000000 USD 2026-01-26 -3.060000 N N N N/A N/A 000000000 1.000000 NC -80.080000 -0.000053 N/A DFE IN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 907361.000000 INR 10000.000000 USD 2026-01-20 -80.080000 N N N N/A N/A 000000000 1.000000 NC 478.130000 0.0003163 N/A DFE TH N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 16456.000000 USD 533013.130000 THB 2026-01-21 478.130000 N N N N/A N/A 000000000 1.000000 NC -2955.330000 -0.0019552 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 241746.000000 USD 21513701.780000 INR 2026-01-30 -2955.330000 N N N N/A N/A 000000000 1900000.000000 NC USD 86648.170000 0.057324 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.48500 08/02/35-10Y LCH 2045-08-02 0.000000 USD 0.000000 USD N/A USD N/A 4.490000 USD 2035-07-31 XXXX -80694.330000 N N N N/A N/A 000000000 -9500000.000000 NC USD -14182.080000 -0.0093825 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG45 (V1 ONLY) 5Y SP Single Leg Swap 2030-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.530000 USD 2026-02-18 XXXX -164.330000 N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI2C9W52 1314800000.000000 PA 352758.940000 0.233376 Long DBT NUSS CO N 2 2033-02-09 Fixed 13.25 N N N N N N N/A N/A 000000000 1.000000 NC -2286.030000 -0.0015124 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2033-12-06 0.000000 EUR -382.140000 EUR 100000.000000 EUR -1903.890000 N N N N/A N/A 000000000 1.000000 NC 0.060000 0 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 3.460000 USD 63.890000 MXN 2026-03-18 0.060000 N N N N/A N/A 000000000 200000.000000 NC USD 502.120000 0.0003322 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.03800 08/13/26-10Y LCH 2036-08-13 0.000000 USD 0.000000 USD N/A USD N/A 3.040000 USD 2026-08-11 XXXX -1117.880000 N N N N/A N/A 000000000 1.000000 NC -1806.740000 -0.0011953 N/A DFE GB N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 125000.000000 GBP 166685.590000 USD 2026-01-14 -1806.740000 N N N CREDIT SUISSE MRTG CAPITAL CERT 2006-7 N/A 22942KAJ9 24791.480000 PA USD 21169.210000 0.014005 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 5.75 N N N N N N GNMA PASS THRU POOLS N/A 21H060614 2160000.000000 PA USD 2201428.130000 1.4564 Long ABS-MBS USGSE US N 2 2055-01-15 Fixed 6 N N N N N N AMBAC ASSURANCE CORPORATION 549300RYYRVPPB8NC636 023138AA8 28.780000 PA USD 37.560000 0.0000248 Long DBT CORP US N 2 2099-12-31 Fixed 5.1 N N N N N N N/A N/A 000000000 1.000000 NC -931.160000 -0.000616 N/A DFE KR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 79202880.000000 KRW 54000.000000 USD 2026-01-08 -931.160000 N N N PERU GOVT 254900STKLK2DBJJZ530 715638BE1 401000.000000 PA 132639.840000 0.0877508 Long DBT NUSS PE N 2 2031-08-12 Fixed 6.95 N N N N N N N/A N/A 000000000 1.000000 NC -514.620000 -0.0003405 N/A DFE PE N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 7489408.550000 PEN 2221717.160000 USD 2026-03-18 -514.620000 N N N INDYMAC INDX MTGE LOAN TRUST 2005-AR12 N/A 45660LMG1 243904.120000 PA USD 230117.420000 0.152239 Long ABS-MBS CORP US N 2 2035-07-25 Floating 4.32621 N N N N N N N/A N/A 000000000 -1520000.000000 NC USD -57460.560000 -0.0380143 N/A DFE LU N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Written BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-21 N/A 17.000000 USD 2026-08-19 XXXX -25273.040000 N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-51 N/A 12668ACP8 76050.620000 PA USD 69777.150000 0.0461626 Long ABS-MBS CORP US N 2 2035-11-20 Floating 4.44838 N N N N N N FHLMC PASS THRU POOLS N/A 3132DVGG4 775620.830000 PA USD 765484.330000 0.506423 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 4.5 N N N N N N TURKEY GOVT 5493000PCHOG3B6S3Q85 ACI2R3GV0 5500000.000000 PA 127980.520000 0.0846683 Long DBT NUSS TR N 2 2028-09-06 Fixed 41.72 N N N N N N N/A N/A 000000000 1.000000 NC USD 2607.420000 0.001725 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-21 0.000000 USD -280.000000 USD 100000.000000 USD 2887.420000 N N N N/A N/A 000000000 1.000000 NC -2030.430000 -0.0013433 N/A DFE IN N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 190473.000000 USD 16977620.380000 INR 2026-01-30 -2030.430000 N N N ARCAN-2A N/A ACI2YDL36 500000.000000 PA 590405.140000 0.390596 Long ABS-CBDO CORP IE N 2 2039-07-25 Floating 4.115 N N N N N N UMBS PASS THRU POOLS N/A 01F050627 12110000.000000 PA USD 12066006.550000 7.98253 Long ABS-MBS USGSE US N 2 2056-02-12 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 999.110000 0.000661 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 17300000.000000 JPY 111524.940000 USD 2026-01-14 999.110000 N N N FANNIE MAE 2007-15 N/A 31396PWK3 123064.370000 PA USD 12441.500000 0.0082309 Long ABS-MBS USGSE US N 2 2037-03-25 Floating 2.39133 N N N N N N FREDDIE MAC REMICS 3828 N/A 3137A7VH0 2985.410000 PA USD 2060.150000 0.0013629 Long ABS-MBS USGSE US N 2 2041-02-15 Floating 0.90501 N N N N N N N/A N/A 000000000 1.000000 NC 61695.180000 0.0408158 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2030-09-17 0.000000 GBP -53727.820000 GBP 11100000.000000 GBP 115423.000000 N N N N/A N/A 000000000 1.000000 NC -24.260000 -0.000016 N/A DFE PL N 2 UBS AG BFM8T61CT2L1QCEMIK50 130226.540000 USD 467473.560000 PLN 2026-01-22 -24.260000 N N N FANNIE MAE 2010-111 N/A 31398NWE0 12709.340000 PA USD 12647.740000 0.0083674 Long ABS-MBS USGSE US N 2 2040-10-25 Floating 4.50867 N N N N N N N/A N/A 000000000 1.000000 NC -288.200000 -0.0001907 N/A DFE IL N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 128890.990000 ILS 40183.000000 USD 2026-01-15 -288.200000 N N N N/A N/A 000000000 1.000000 NC -3012.310000 -0.0019929 N/A DFE GB N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 86726.000000 GBP 113889.020000 USD 2026-01-14 -3012.310000 N N N N/A N/A 000000000 1.000000 NC 200.980000 0.000133 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 15130.310000 USD 691651.860000 TRY 2026-03-12 200.980000 N N N N/A N/A 000000000 1.000000 NC USD -23006.570000 -0.0152205 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2052-11-15 0.000000 USD 0.000000 USD 1130000.000000 USD -23006.570000 N N N WASHINGTON MUTUAL 2005-AR14 N/A 92922F4C9 199327.590000 PA USD 188260.620000 0.124548 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.68577 N N N N N N N/A N/A 000000000 1.000000 NC 54.820000 0.0000363 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 110000.000000 USD 3459532.000000 TWD 2026-01-30 54.820000 N N N N/A N/A 000000000 1.000000 NC 37235.710000 0.0246341 N/A DIR CO N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Colombia IBR Overnight Nominal Interbank Reference Rate Y 2029-08-22 0.000000 COP 0.000000 COP 2519800000.000000 COP 37235.710000 N N N N/A N/A 000000000 1.000000 NC 51179.380000 0.0338588 N/A DIR CO N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Colombia IBR Overnight Nominal Interbank Reference Rate Y 2029-08-22 0.000000 COP 0.000000 COP 2917300000.000000 COP 51179.380000 N N N N/A N/A 000000000 1.000000 NC USD -20474.910000 -0.0135456 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-12-18 4916.410000 USD 0.000000 USD 1700000.000000 USD -25391.320000 N N N N/A N/A 000000000 1.000000 NC USD -891.790000 -0.00059 N/A DCR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 SAUDI ARABIA GOVT SAUDI INTERNATIONAL BOND SR UNSEC REGS Y Single Leg Swap 2035-06-20 2615.580000 USD 0.000000 USD 400000.000000 USD -3507.370000 N N N N/A N/A 000000000 1.000000 NC USD 1844.920000 0.0012205 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-15 0.000000 USD -276.250000 USD 100000.000000 USD 2121.170000 N N N N/A N/A 000000000 -110000.000000 NC USD -191.950000 -0.000127 N/A DFE US N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 Put Written BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-02-19 N/A 1385.000000 USD 2026-02-12 XXXX 24.750000 N N N BARCLAYS PLC 213800LBQA1Y9L22JB70 06738ECG8 400000.000000 PA USD 430324.230000 0.284691 Long DBT CORP GB N 2 2034-05-09 Floating 6.224 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-FR4 N/A 81375WFJ0 309179.200000 PA USD 290532.200000 0.192208 Long ABS-MBS CORP US N 2 2036-01-25 Floating 4.80621 N N N N N N N/A N/A 000000000 1600000.000000 NC USD 3855.520000 0.0025507 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.17400 04/29/26-7Y LCH 2033-04-29 0.000000 USD 0.000000 USD N/A USD N/A 3.170000 USD 2026-04-27 XXXX -8038.060000 N N N N/A N/A 000000000 1.000000 NC -3095.790000 -0.0020481 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1678462.600000 PEN 494931.910000 USD 2026-03-18 -3095.790000 N N N N/A N/A 000000000 1.000000 NC 963.020000 0.0006371 N/A DFE MX N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 64942.980000 USD 1198685.000000 MXN 2026-04-15 963.020000 N N N N/A N/A 000000000 1.000000 NC 4232.290000 0.0028 N/A DFE TR N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 295417.940000 USD 13448901.720000 TRY 2026-03-05 4232.290000 N N N N/A N/A 000000000 1.000000 NC 2120.170000 0.0014026 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 90207.000000 USD 331472.840000 PLN 2026-01-16 2120.170000 N N N N/A N/A 000000000 4400000.000000 NC USD 97.680000 0.0000646 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased UMBS PASS THRU POOLS FNMA TBA 5.5% FEB 30YR N/A 98.910000 USD 2026-02-05 XXXX -2824.200000 N N N N/A N/A 000000000 1.000000 NC -340.560000 -0.0002253 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2030-03-04 0.000000 EUR -136.150000 EUR 100000.000000 EUR -204.410000 N N N BHG SECURITIZATION TRUST 2022-C N/A 08860DAB9 254484.930000 PA USD 255178.780000 0.168819 Long ABS-O CORP US N 2 2035-10-17 Fixed 5.93 N N N N N N N/A N/A 000000000 1.000000 NC -298.080000 -0.0001972 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 110000.000000 USD 3449529.000000 TWD 2026-02-02 -298.080000 N N N N/A N/A 000000000 1.000000 NC USD -1855.340000 -0.0012274 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-10-30 0.000000 USD -327.500000 USD 100000.000000 USD -1527.840000 N N N N/A N/A 000000000 1.000000 NC 1294.480000 0.0008564 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1416837.000000 TWD 46405.000000 USD 2026-01-22 1294.480000 N N N N/A N/A 000000000 1.000000 NC 299.840000 0.0001984 N/A DFE NZ N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 138000.000000 NZD 79779.060000 USD 2026-01-14 299.840000 N N N SEQUOIA MORTGAGE TRUST 2007-1 N/A 81744HAH6 102948.330000 PA USD 67469.200000 0.0446357 Long ABS-MBS CORP US N 2 2046-09-20 Floating 3.54379 N N N N N N CPS AUTO RECEIVABLES TRUST 2022-B N/A 12663BAD0 369568.200000 PA USD 369928.310000 0.244734 Long ABS-O CORP US N 2 2028-08-15 Fixed 5.19 N N N N N N N/A N/A 000000000 1.000000 NC USD -20252.660000 -0.0133986 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-09-17 0.000000 USD -22944.790000 USD 1650000.000000 USD 2692.130000 N N N COUNTRYWIDE ASSET-BACKED CERT 2007-6 N/A 12669LAD2 274901.520000 PA USD 293484.200000 0.194161 Long ABS-MBS CORP US N 2 2037-09-25 Floating 4.28621 N N N N N N UMBS PASS THRU POOLS N/A 01F032625 -8670000.000000 PA USD -7988930.840000 -5.28525 Short ABS-MBS USGSE US N 2 2056-02-15 Fixed 3.5 N N N N N N N/A N/A 000000000 1300000.000000 NC USD 726.700000 0.0004808 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Call Purchased HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-18 N/A 7.800000 USD 2026-08-14 XXXX -976.100000 N N N CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2016-3A N/A 14311UBA5 600000.000000 PA USD 600330.000000 0.397162 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 4.97444 N N N N N N N/A N/A 000000000 1.000000 NC USD 22654.890000 0.0149878 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-09-17 0.000000 USD -1054.520000 USD 7310000.000000 USD 23709.410000 N N N N/A N/A 000000000 1.000000 NC USD -2128.340000 -0.0014081 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-10-11 0.000000 USD -363.750000 USD 100000.000000 USD -1764.590000 N N N N/A N/A 000000000 1.000000 NC USD -2635.530000 -0.0017436 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-10-17 0.000000 USD -340.000000 USD 100000.000000 USD -2295.530000 N N N N/A N/A 000000000 1.000000 NC 1363.270000 0.0009019 N/A DFE PL N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 64522.000000 USD 236541.200000 PLN 2026-01-16 1363.270000 N N N N/A N/A 000000000 1.000000 NC -3868.870000 -0.0025595 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 1100000.000000 BRL 192747.100000 USD 2026-04-02 -3868.870000 N N N N/A N/A 000000000 -2900000.000000 NC USD -15075.650000 -0.0099736 N/A DIR US N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 Put Written WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.70700 03/20/26-7Y LCH 2033-03-20 0.000000 USD 0.000000 USD N/A USD N/A 3.710000 USD 2026-03-18 XXXX -1155.650000 N N N N/A N/A 000000000 1.000000 NC 4419.380000 0.0029237 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 154805.000000 USD 571677.840000 PLN 2026-01-23 4419.380000 N N N N/A N/A 000000000 1.000000 NC -230.690000 -0.0001526 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 200000.000000 BRL 35517.670000 USD 2026-04-02 -230.690000 N N N SHACKLETON CLO LTD 2019-14A N/A 81880XAW2 700000.000000 PA USD 700608.900000 0.463503 Long ABS-CBDO CORP KY N 2 2034-07-20 Floating 5.08444 N N N N N N N/A N/A 000000000 1.000000 NC 2789.590000 0.0018455 N/A DFE KR N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 154492.000000 USD 226777586.000000 KRW 2026-01-08 2789.590000 N N N N/A N/A 000000000 1.000000 NC 136.850000 0.0000905 N/A DFE CO N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 48733737.000000 COP 12701.000000 USD 2026-03-26 136.850000 N N N N/A N/A 000000000 1.000000 NC -3933.350000 -0.0026022 N/A DFE N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 459000.000000 EUR 535713.540000 USD 2026-01-14 -3933.350000 N N N N/A N/A 000000000 1.000000 NC 5343.910000 0.0035354 N/A DFE ZA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 93000.000000 USD 1656190.500000 ZAR 2026-08-19 5343.910000 N N N UMBS PASS THRU POOLS N/A 01F020612 -3220000.000000 PA USD -2603659.060000 -1.72251 Short ABS-MBS USGSE US N 2 2055-01-15 Fixed 2 N N N N N N COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB N/A 02146TAG2 932150.930000 PA USD 481592.980000 0.318609 Long ABS-MBS CORP US N 2 2036-08-25 Fixed 6.25 N N N N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 S69124NF8 18460000.000000 PA 1090589.150000 0.721503 Long DBT NUSS ZA N 2 2031-02-28 Fixed 7 N N N N N N FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q034 N/A 3137HLY30 488987.690000 PA USD 476022.080000 0.314923 Long ABS-MBS USGSE US N 2 2054-07-25 Floating 2.903 N N N N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI2WQVJ3 1518900000.000000 PA 394354.630000 0.260894 Long DBT NUSS CO N 2 2040-11-28 Fixed 12.75 N N N N N N N/A N/A 000000000 1.000000 NC -2565.770000 -0.0016974 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2029-01-02 0.000000 BRL 0.000000 BRL 12200000.000000 BRL -2565.770000 N N N PAGAYA AI DEBT TRUST 2025-4 N/A 69547DAB2 499982.230000 PA USD 504434.820000 0.33372 Long ABS-O CORP US N 2 2033-01-17 Fixed 5.373 N N N N N N N/A N/A 000000000 1700000.000000 NC USD 4837.860000 0.0032006 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.23000 04/01/26-5Y LCH 2031-04-01 0.000000 USD 0.000000 USD N/A USD N/A 3.230000 USD 2026-03-30 XXXX -8167.140000 N N N WASHINGTON MUTUAL 2006-AR3 N/A 92925CDA7 70348.420000 PA USD 65246.880000 0.0431655 Long ABS-MBS CORP US N 2 2046-02-25 Floating 5.02927 N N N N N N SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2 N/A 81377AAE2 702467.090000 PA USD 268053.360000 0.177337 Long ABS-MBS CORP US N 2 2036-07-25 Floating 4.32621 N N N N N N N/A N/A 000000000 1300000.000000 NC USD 59285.590000 0.0392217 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.48500 08/02/35-10Y LCH 2045-08-02 0.000000 USD 0.000000 USD N/A USD N/A 4.490000 USD 2035-07-31 XXXX -55179.410000 N N N N/A N/A 000000000 1.000000 NC USD 18625.990000 0.0123224 N/A DE US N 2 MERRILL LYNCH INTERNATIONAL GGDZP1UYGU9STUHRDP48 N/A RAE FUNDAMENTAL INTERNATIONAL LARGE NET TOTAL RETURN Y 2026-08-19 0.000000 USD 0.000000 USD 506707.020000 USD 18625.990000 N N N N/A N/A 000000000 1.000000 NC 353.250000 0.0002337 N/A DFE PL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 129270.000000 USD 465373.160000 PLN 2026-01-16 353.250000 N N N UPSTART STRUCTURED PASS-THROUGH TRUST 2022-2A N/A 91680YAY7 9029.610000 PA USD 9008.500000 0.0059598 Long ABS-O CORP US N 2 2030-06-17 Fixed 4.25 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-61 N/A 12668AVL6 15531.900000 PA USD 14632.870000 0.0096807 Long ABS-MBS CORP US N 2 2035-12-25 Floating 4.36621 N N N N N N CHEVY CHASE MORTGAGE FUND CORP 2005-2A N/A 16678RDL8 178838.590000 PA USD 173471.700000 0.114764 Long ABS-MBS CORP US N 2 2036-05-25 Floating 4.07621 N N N N N N CITIGROUP MTGE LOAN TRUST INC 2005-11 N/A 17307GW79 19925.270000 PA USD 20404.290000 0.0134989 Long ABS-MBS CORP US N 2 2035-10-25 Floating 6.48 N N N N N N N/A N/A 000000000 1.000000 NC 18.930000 0.0000125 N/A DFE CO N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 15969375.000000 COP 4175.000000 USD 2026-02-05 18.930000 N N N ECUADOR GOVT 5299003Y2U5XK0A35H71 ACI1Q6QQ6 200000.000000 PA USD 171400.000000 0.113393 Long DBT NUSS EC N 2 2030-07-31 None 0 N N N N N N N/A N/A 000000000 1.000000 NC -105567.260000 -0.0698404 N/A DIR JP N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A BOJ Overnight Call Rate TONAR Y 2055-12-17 0.000000 JPY -7755.440000 JPY 240000000.000000 JPY -97811.820000 N N N N/A N/A 000000000 500000.000000 NC USD 25386.400000 0.0167949 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.65600 08/22/35-10Y LCH 2045-08-22 0.000000 USD 0.000000 USD N/A USD N/A 4.660000 USD 2035-08-20 XXXX -17888.600000 N N N FNMA PASS THRU POOLS N/A 3138Y3XS5 62287.910000 PA USD 61268.160000 0.0405333 Long ABS-MBS USGSE US N 2 2044-10-01 Fixed 4 N N N N N N N/A N/A 000000000 1.000000 NC -3963.650000 -0.0026222 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2029-01-02 0.000000 BRL -63.660000 BRL 4200000.000000 BRL -3899.990000 N N N BAIN CAPITAL CREDIT CLO 2021-2 LTD N/A 05684RAL6 500000.000000 PA USD 500537.500000 0.331142 Long ABS-CBDO CORP KY N 2 2034-07-16 Floating 5.12363 N N N N N N EAGLE FUNDING LUXCO SA RL 894500VDP08MVIZ6OA60 26951TAA8 700000.000000 PA USD 713888.000000 0.472288 Long DBT NUSS LU N 2 2030-08-17 Fixed 5.5 N N N N N N N/A N/A 000000000 1.000000 NC 261.350000 0.0001729 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 10530287.000000 JPY 67537.000000 USD 2026-01-14 261.350000 N N N BANC OF AMERICA FUNDING CORP 2006-H N/A 05950PAK9 616729.690000 PA USD 558139.690000 0.36925 Long ABS-MBS CORP US N 2 2046-09-20 Floating 4.65434 N N N N N N COLOMBIAN GOVT 549300MHDRBVRF6B9117 ACI2WZRP4 7283000000.000000 PA 1822745.410000 1.20588 Long DBT NUSS CO N 2 2029-08-22 Fixed 11 N N N N N N N/A N/A 000000000 1.000000 NC -4.530000 -0.000003 N/A DFE JP N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 859.970000 USD 133898.000000 JPY 2026-01-14 -4.530000 N N N N/A N/A 000000000 1600000.000000 NC USD 79822.400000 0.0528083 N/A DIR US N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 Call Purchased DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.62750 08/23/35-10Y LCH 2045-08-23 0.000000 USD 0.000000 USD N/A USD N/A 4.630000 USD 2035-08-21 XXXX -58537.600000 N N N N/A N/A 000000000 1.000000 NC 103.850000 0.0000687 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 21344664.000000 COP 5592.000000 USD 2026-04-06 103.850000 N N N N/A N/A 000000000 1.000000 NC -36386.090000 -0.024072 N/A DFE MX N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 20451158.510000 MXN 1091281.370000 USD 2026-03-18 -36386.090000 N N N N/A N/A 000000000 1.000000 NC -1011.490000 -0.0006692 N/A DFE N/A N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 69000.000000 EUR 80111.900000 USD 2026-01-14 -1011.490000 N N N N/A N/A 000000000 1.000000 NC -2491.800000 -0.0016485 N/A DFE JP N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 376985.000000 USD 58617359.000000 JPY 2026-01-14 -2491.800000 N N N N/A N/A 000000000 1.000000 NC 153.300000 0.0001014 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 80000.000000 USD 2516934.000000 TWD 2026-01-20 153.300000 N N N N/A N/A 000000000 500000.000000 NC USD 30393.850000 0.0201077 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.42700 08/08/35-10Y LCH 2045-08-08 0.000000 USD 0.000000 USD N/A USD N/A 4.430000 USD 2035-08-06 XXXX -13606.150000 N N N N/A N/A 000000000 1.000000 NC USD -79565.250000 -0.0526381 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.44 Y Single Leg Swap 2030-06-20 0.000000 USD -60453.650000 USD 3500000.000000 USD -19111.600000 N N N DIAMETER CAPITAL CLO 2024-6A N/A 25255UAA0 1000000.000000 PA USD 1005141.650000 0.664974 Long ABS-CBDO CORP KY N 2 2037-04-15 Floating 5.51454 N N N N N N N/A N/A 000000000 1.000000 NC -230.520000 -0.0001525 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 109000.000000 EUR 127920.920000 USD 2026-01-14 -230.520000 N N N N/A N/A 000000000 500000.000000 NC USD 27507.900000 0.0181985 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.65600 08/22/35-10Y LCH 2045-08-22 0.000000 USD 0.000000 USD N/A USD N/A 4.660000 USD 2035-08-20 XXXX -15767.100000 N N N THORNBURG MORTGAGE SECURITIES TR 2007-3 N/A 88522XAC5 224053.290000 PA USD 221067.530000 0.146252 Long ABS-MBS CORP US N 2 2047-06-25 Floating 5.41265 N N N N N N UNITED STATES GOVT 254900HROIFWPRGM1V77 912810UN6 43000.000000 PA USD 43430.000000 0.0287321 Long DBT UST US N 2 2045-08-15 Fixed 4.875 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-65CB N/A 12668AZ65 379287.000000 PA USD 266754.370000 0.176477 Long ABS-MBS CORP US N 2 2035-12-25 Fixed 6 N N N N N N N/A N/A 000000000 -100000.000000 NC USD -49.010000 -0.0000324 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Written MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.91900 01/14/26-10Y LCH 2036-01-14 0.000000 USD 0.000000 USD N/A USD N/A 3.920000 USD 2026-01-12 XXXX 187.240000 N N N N/A N/A 000000000 1.000000 NC -29.480000 -0.0000195 N/A DFE TW N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 6465.000000 USD 202362.000000 TWD 2026-02-02 -29.480000 N N N FNMA PASS THRU POOLS N/A 3140W0BA2 181620.120000 PA USD 183095.230000 0.121131 Long ABS-MBS USGSE US N 2 2054-12-01 Fixed 5 N N N N N N N/A N/A 000000000 1.000000 NC 3342.660000 0.0022114 N/A DFE TW N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 3125496.000000 TWD 102855.000000 USD 2026-01-22 3342.660000 N N N N/A N/A 000000000 1.000000 NC 351.850000 0.0002328 N/A DFE NZ N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 173000.000000 NZD 99988.840000 USD 2026-01-14 351.850000 N N N N/A N/A 000000000 -200000.000000 NC USD -591.520000 -0.0003913 N/A DIR US N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 Put Written BNP PARIBAS R0MUWSFPU8MPRO8K5P83 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.88200 02/02/26-10Y LCH 2036-02-02 0.000000 USD 0.000000 USD N/A USD N/A 3.880000 USD 2026-01-29 XXXX -164.020000 N N N N/A N/A 000000000 1.000000 NC 148529.720000 0.0982631 N/A DCR N/A N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A ITRAXX EUROPE CROSSOVER SERIES 44 Y Single Leg Swap 2030-12-20 143350.290000 EUR 0.000000 EUR 630200.000000 EUR 5179.430000 N N N PPMC-2021-5A N/A 69356TAJ0 500000.000000 PA USD 500009.150000 0.330792 Long ABS-CBDO CORP KY N 2 2034-10-18 Floating 4.99843 N N N N N N N/A N/A 000000000 1.000000 NC USD -166841.330000 -0.110378 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 N/A CDX.NA.IG.45 Y Single Leg Swap 2030-12-20 0.000000 USD -158863.760000 USD 7270000.000000 USD -7977.570000 N N N FREDDIE MAC 2764 N/A 31394TYD1 79477.890000 PA USD 82220.010000 0.0543945 Long ABS-MBS USGSE US N 2 2034-03-15 Fixed 5.5 N N N N N N TURKEY GOVT 5493000PCHOG3B6S3Q85 ACI2PJ5W7 6200000.000000 PA 144328.180000 0.0954835 Long DBT NUSS TR N 2 2028-05-17 Floating 42.56 N N N N N N N/A N/A 000000000 1.000000 NC USD 1344698.190000 0.889615 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2052-06-15 744696.700000 USD 0.000000 USD 3300000.000000 USD 600001.490000 N N N WASHINGTON MUTUAL 2005-AR19 N/A 92925CBA9 14598.630000 PA USD 14714.010000 0.0097344 Long ABS-MBS CORP US N 2 2045-12-25 Floating 4.38621 N N N N N N N/A N/A 000000000 1.000000 NC 2601.470000 0.0017211 N/A DFE SE N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 73792.630000 USD 702990.970000 SEK 2026-01-14 2601.470000 N N N N/A N/A 000000000 1.000000 NC 138.900000 0.0000919 N/A DFE IL N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 256403.410000 ILS 80656.000000 USD 2026-02-19 138.900000 N N N N/A N/A 000000000 1.000000 NC USD 2187.770000 0.0014474 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-12-30 0.000000 USD -320.000000 USD 100000.000000 USD 2507.770000 N N N SOUTH AFRICA GOVT 378900AAFB4F17004C49 ACI06HB74 2600000.000000 PA 156083.210000 0.10326 Long DBT NUSS ZA N 2 2037-01-31 Fixed 8.5 N N N N N N N/A N/A 000000000 1.000000 NC -868.850000 -0.0005748 N/A DFE TH N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 973957.500000 THB 30074.340000 USD 2026-01-21 -868.850000 N N N N/A N/A 000000000 1.000000 NC 91.470000 0.0000605 N/A DFE TW N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 19606.000000 USD 618530.000000 TWD 2026-01-20 91.470000 N N N N/A N/A 000000000 1.000000 NC 815.720000 0.0005397 N/A DFE PL N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 47928.110000 USD 175000.000000 PLN 2026-01-16 815.720000 N N N FREDDIE MAC REMICS 5521 N/A 3137HKCY8 995735.390000 PA USD 999736.250000 0.661398 Long ABS-MBS USGSE US N 2 2055-03-25 Floating 5.02419 N N N N N N N/A N/A 000000000 1.000000 NC -24.990000 -0.0000165 N/A DFE CO N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 79703254.000000 COP 20914.000000 USD 2026-01-20 -24.990000 N N N FANNIE MAE REMICS 2011-40 N/A 31397SWJ9 3332.990000 PA USD 2191.780000 0.00145 Long ABS-MBS USGSE US N 2 2040-11-25 Floating 0 N N N N N N N/A N/A 000000000 1.000000 NC -1998.810000 -0.0013224 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 174769.000000 USD 15565626.220000 INR 2026-01-30 -1998.810000 N N N OPORTUN ISSUANCE TRUST 2024-2 N/A 68377KAA5 16354.500000 PA USD 16356.500000 0.010821 Long ABS-O CORP US N 2 2032-02-09 Fixed 5.86 N N N N N N N/A N/A 000000000 1.000000 NC -16037.640000 -0.0106101 N/A DFE AU N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 754590.000000 AUD 487572.290000 USD 2026-01-14 -16037.640000 N N N N/A N/A 000000000 1.000000 NC -3915.450000 -0.0025904 N/A DFE CN N 2 STANDARD CHARTERED BANK RILFO74KP1CM8P6PCT96 2504173.150000 CNY 355402.000000 USD 2026-01-21 -3915.450000 N N N GNMA PASS THRU POOLS N/A 21H032621 4600000.000000 PA USD 4186356.500000 2.76958 Long ABS-MBS USGSE US N 2 2056-02-19 Fixed 3.5 N N N N N N N/A N/A 000000000 1.000000 NC 22409.250000 0.0148253 N/A DFE MX N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 679395.000000 USD 12727785.930000 MXN 2026-03-18 22409.250000 N N N FANNIE MAE REMICS 2007-32 N/A 31396VDR6 357080.070000 PA USD 32629.870000 0.021587 Long ABS-MBS USGSE US N 2 2037-04-25 Floating 2.11133 N N N N N N N/A N/A 000000000 1.000000 NC 0.130000 0.0000001 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 10.600000 USD 337.640000 THB 2026-01-21 0.130000 N N N MLCC MORTGAGE INVESTORS INC 2006-1 N/A 59020U4S1 980.860000 PA USD 958.280000 0.000634 Long ABS-MBS CORP US N 2 2036-02-25 Floating 5.34836 N N N N N N N/A N/A 000000000 1.000000 NC 800.980000 0.0005299 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 298691.000000 USD 26982550.180000 INR 2026-01-30 800.980000 N N N N/A N/A 000000000 1.000000 NC -1678.620000 -0.0011105 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 330059.920000 PLN 90255.000000 USD 2026-01-16 -1678.620000 N N N N/A N/A 000000000 24800000.000000 NC USD 36886.280000 0.0244029 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Purchased GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG45 (V1 ONLY) 5Y SP Single Leg Swap 2030-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.650000 USD 2026-05-20 XXXX -11947.720000 N N N N/A N/A 000000000 1000000.000000 NC USD 58369.800000 0.0386158 N/A DIR US N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 Put Purchased Nomura Holdings, Inc. 549300B3CEAHYG7K8164 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.52000 08/15/35-10Y LCH 2045-08-15 0.000000 USD 0.000000 USD N/A USD N/A 4.520000 USD 2035-08-13 XXXX -29630.200000 N N N N/A N/A 000000000 1.000000 NC USD -758.590000 -0.0005019 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-25 0.000000 USD -290.000000 USD 100000.000000 USD -468.590000 N N N N/A N/A 000000000 1.000000 NC USD 6517.270000 0.0043116 N/A DCR US N 2 INTERCONTINENTAL EXCHANGE 5493000F4ZO33MV32P92 GENERAL ELECTRIC COMPANY GENERAL ELECTRIC CO SR UNSEC Y Single Leg Swap 2026-12-20 7968.290000 USD 0.000000 USD 700000.000000 USD -1451.020000 N N N N/A N/A 000000000 82.000000 NC USD 13674.320000 0.0090465 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A UNITED STATES GOVT 2026-03-31 17119101.620000 USD 13674.320000 N N N N/A N/A 000000000 14.000000 NC USD -10625.490000 -0.0070295 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A FEDERAL FUND 2026-05-29 5632971.440000 USD -10625.490000 N N N GSAA HOME EQUITY TRUST 2007-5 N/A 3622ECAF3 511964.370000 PA USD 222371.670000 0.147115 Long ABS-MBS CORP US N 2 2047-04-25 Floating 4.48621 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QS1 N/A 74922KAA3 40620.780000 PA USD 32603.390000 0.0215695 Long ABS-MBS CORP US N 2 2037-01-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 1093.850000 0.0007237 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 53777.770000 USD 197000.000000 PLN 2026-01-16 1093.850000 N N N N/A N/A 000000000 1.000000 NC USD -8057.880000 -0.0053309 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-12-20 49297.220000 USD 0.000000 USD 4900000.000000 USD -57355.100000 N N N MF1 2021-FL7 LTD N/A 55284AAA6 98294.110000 PA USD 98220.440000 0.0649799 Long ABS-CBDO CORP KY N 2 2036-10-16 Floating 4.92895 N N N N N N COUNTRYWIDE HOME LOANS 2005-9 N/A 12669GYY1 98516.900000 PA USD 88343.050000 0.0584453 Long ABS-MBS CORP US N 2 2035-05-25 Floating 4.44621 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-19 N/A 38380VEU1 79807.860000 PA USD 77858.920000 0.0515093 Long ABS-MBS USGSE US N 2 2047-08-20 Floating 4.3372 N N N N N N WAMU MTGE P/T CERT 2007-HY6 N/A 92927XAE4 42829.270000 PA USD 38389.100000 0.0253972 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.30281 N N N N N N CITIGROUP MTGE LOAN TR INC 2007-10 N/A 17313QAL2 16745.930000 PA USD 15757.540000 0.0104247 Long ABS-MBS CORP US N 2 2037-09-25 Floating 4.45683 N N N N N N N/A N/A 000000000 1.000000 NC USD -2956.990000 -0.0019563 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2034-12-18 0.000000 USD -17495.540000 USD 2800000.000000 USD 14538.550000 N N N N/A N/A 000000000 1.000000 NC -24158.170000 -0.0159824 N/A DIR AU N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 AUD-BBR-BBSW-Bloomberg 6M N/A N/A Y 2035-06-18 35141.860000 AUD 0.000000 AUD 1800000.000000 AUD -59300.030000 N N N N/A N/A 000000000 1.000000 NC -7551.510000 -0.0049959 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2055-09-17 31187.580000 GBP 0.000000 GBP 660000.000000 GBP -38739.090000 N N N N/A N/A 000000000 1.000000 NC -1234.520000 -0.0008167 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 300000.000000 BRL 52388.020000 USD 2026-04-02 -1234.520000 N N N CHASE FUNDING MTGE LN ASSET BK 2002-3 N/A 161546DB9 29932.450000 PA USD 29780.950000 0.0197022 Long ABS-MBS CORP US N 2 2032-08-25 Floating 4.48621 N N N N N N N/A N/A 000000000 1.000000 NC -2.260000 -0.0000015 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 10000.000000 USD 900977.660000 INR 2026-02-02 -2.260000 N N N FIRST FRANKLIN MTG LOAN ABS 2005-FF10 N/A 32027NWP2 595302.820000 PA USD 564975.300000 0.373772 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.56621 N N N N N N N/A N/A 000000000 1.000000 NC -2415.560000 -0.0015981 N/A DFE BR N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 700000.000000 BRL 122703.690000 USD 2026-04-02 -2415.560000 N N N N/A N/A 000000000 1.000000 NC -2790.810000 -0.0018463 N/A DFE ZA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 1286000.000000 ZAR 74753.560000 USD 2026-01-26 -2790.810000 N N N CITIGROUP MORTGAGE LOAN TR 2006-WF2 N/A 17309BAL1 122677.890000 PA USD 60585.270000 0.0400815 Long ABS-MBS CORP US N 2 2036-05-25 Variable 7.25 N N N N N N N/A N/A 000000000 1900000.000000 NC USD 6237.130000 0.0041263 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.26000 04/30/26-7Y LCH 2033-04-30 0.000000 USD 0.000000 USD N/A USD N/A 3.260000 USD 2026-04-28 XXXX -11858.110000 N N N WAMU MTGE P/T CERT 2007-HY6 N/A 92927XAC8 139934.390000 PA USD 122639.730000 0.081135 Long ABS-MBS CORP US N 2 2037-06-25 Floating 3.92969 N N N N N N ALBACORE EURO CLO I DAC A N/A ACI2MJBJ2 500000.000000 PA 588395.190000 0.389266 Long ABS-CBDO CORP IE N 2 2034-10-18 Floating 3.084 N N N N N N DRYDEN 60 CLO LTD N/A 26251NAB6 150989.540000 PA USD 151062.400000 0.0999387 Long ABS-CBDO CORP KY N 2 2031-07-15 Floating 5.21615 N N N N N N N/A N/A 000000000 1.000000 NC -13.750000 -0.0000091 N/A DFE CO N 2 BANCO SANTANDER S.A. 5493006QMFDDMYWIAM13 26838350.000000 COP 6971.000000 USD 2026-02-05 -13.750000 N N N MORGAN STANLEY MORTGAGE LN TR-2006-8AR N/A 61749LAP6 4280.900000 PA USD 4177.880000 0.002764 Long ABS-MBS CORP US N 2 2036-06-25 Floating 5.78222 N N N N N N N/A N/A 000000000 1.000000 NC -978.140000 -0.0006471 N/A DFE PE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 329309.980000 PEN 96810.320000 USD 2026-02-27 -978.140000 N N N GSAA HOME EQUITY TRUST 2006-5 N/A 362334GR9 272999.010000 PA USD 87449.200000 0.057854 Long ABS-MBS CORP US N 2 2036-03-25 Floating 3.98621 N N N N N N N/A N/A 000000000 1.000000 NC USD -5116.280000 -0.0033848 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2034-10-17 0.000000 USD -670.000000 USD 200000.000000 USD -4446.280000 N N N N/A N/A 000000000 200000.000000 NC USD 393.760000 0.0002605 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.96500 08/07/26-10Y LCH 2036-08-07 0.000000 USD 0.000000 USD N/A USD N/A 2.960000 USD 2026-08-05 XXXX -1316.240000 N N N FHLMC PASS THRU POOLS N/A 3128MMWV1 295927.350000 PA USD 289850.430000 0.191757 Long ABS-MBS USGSE US N 2 2032-09-01 Fixed 3 N N N N N N N/A N/A 000000000 1.000000 NC -714.220000 -0.0004725 N/A DFE JP N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 31600000.000000 JPY 201171.120000 USD 2026-01-14 -714.220000 N N N N/A N/A 000000000 1.000000 NC -217.220000 -0.0001437 N/A DFE N/A N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 174000.000000 EUR 204354.800000 USD 2026-01-14 -217.220000 N N N N/A N/A 000000000 34.000000 NC USD -5351.000000 -0.0035401 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Long N/A FEDERAL FUND 2026-02-27 13658113.400000 USD -5351.000000 N N N GSAMP TRUST 2006-HE8 N/A 3622M8AE6 605000.000000 PA USD 536137.990000 0.354694 Long ABS-MBS CORP US N 2 2037-01-25 Floating 4.30621 N N N N N N N/A N/A 000000000 1.000000 NC -917.420000 -0.0006069 N/A DFE N/A N 2 BARCLAYS BANK PLC G5GSEF7VJP5I7OUK5573 60000.000000 EUR 69624.660000 USD 2026-01-14 -917.420000 N N N N/A N/A 000000000 1.000000 NC 724.340000 0.0004792 N/A DFE NZ N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 138000.000000 NZD 80203.560000 USD 2026-01-14 724.340000 N N N GSAA HOME EQUITY TRUST 2006-4 N/A 362334FF6 535399.190000 PA USD 64574.760000 0.0427209 Long ABS-MBS CORP US N 2 2036-03-25 Floating 3.93391 N N N N N N N/A N/A 000000000 -9720000.000000 NC USD -21655.380000 -0.0143266 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Call Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG45 (V1 ONLY) 5Y SP Single Leg Swap 2030-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.550000 USD 2026-01-21 XXXX -3902.580000 N N N N/A N/A 000000000 1.000000 NC 923.600000 0.000611 N/A DFE MX N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 58254.000000 USD 1072258.080000 MXN 2026-03-09 923.600000 N N N SOUTHERN CALIFORNIA EDISON COMPANY 9R1Z5I36FERIBVKW4P77 8424C1A57 1400000.000000 PA USD 1399219.220000 0.925684 Long DBT CORP US N 2 2026-01-05 None 0 N N N N N N N/A N/A 000000000 100000.000000 NC USD 394.880000 0.0002612 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.22200 08/06/26-10Y LCH 2036-08-06 0.000000 USD 0.000000 USD N/A USD N/A 3.220000 USD 2026-08-04 XXXX -905.120000 N N N N/A N/A 000000000 1.000000 NC USD -1675.460000 -0.0011084 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2026-06-20 0.000000 USD -2023.350000 USD 4800000.000000 USD 347.890000 N N N N/A N/A 000000000 -22.000000 NC USD 19157.150000 0.0126738 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Short N/A UNITED STATES GOVT 2026-03-20 -2583968.750000 USD 19157.150000 N N N N/A N/A 000000000 1.000000 NC USD 396911.870000 0.262586 N/A DE US N 2 MORGAN STANLEY & CO. INTERNATIONAL PLC 4PQUHN3JPFGFNF3BB653 N/A ENHANCED RAFI INTERNATIONAL LARGE STRATEGY (ERAFI INTERNATIONAL LARGE) Y 2026-04-15 0.000000 USD 0.000000 USD 10835271.700000 USD 396911.870000 N N N N/A N/A 000000000 1.000000 NC -6355.230000 -0.0042044 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2029-01-02 0.000000 BRL 0.000000 BRL 10700000.000000 BRL -6355.230000 N N N BANK OF AMERICA MTGE SECURITIES 2004-A N/A 05948XT27 8391.590000 PA USD 8283.510000 0.0054801 Long ABS-MBS CORP US N 2 2034-02-25 Fixed 5.7321 N N N N N N RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2022-1A N/A 76089EAA1 113453.250000 PA USD 114084.280000 0.075475 Long ABS-O CORP US N 2 2030-09-25 Fixed 5.32 N N N N N N N/A N/A 000000000 1.000000 NC 4168.190000 0.0027576 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-10-01 0.000000 EUR -267.940000 EUR 100000.000000 EUR 4436.130000 N N N N/A N/A 000000000 1.000000 NC -17966.560000 -0.0118862 N/A DFE ZA N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 7827450.090000 ZAR 454020.000000 USD 2026-01-26 -17966.560000 N N N N/A N/A 000000000 1.000000 NC 109.270000 0.0000723 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 40000.000000 USD 3613620.520000 INR 2026-01-30 109.270000 N N N N/A N/A 000000000 1.000000 NC 6.980000 0.0000046 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 26873205.000000 COP 6971.000000 USD 2026-03-05 6.980000 N N N GNMA PASS THRU POOLS N/A 21H040624 5150000.000000 PA USD 4863933.620000 3.21784 Long ABS-MBS USGSE US N 2 2056-02-15 Fixed 4 N N N N N N PERU GOVT 254900STKLK2DBJJZ530 ACI2XSL83 1000000.000000 PA 320811.640000 0.21224 Long DBT NUSS PE N 2 2035-08-12 Fixed 6.85 N N N N N N N/A N/A 000000000 1.000000 NC -3857.740000 -0.0025522 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 624327.370000 PLN 170040.000000 USD 2026-01-16 -3857.740000 N N N FANNIE MAE 2009-87 N/A 31398FR45 55248.140000 PA USD 5538.770000 0.0036643 Long ABS-MBS USGSE US N 2 2039-11-25 Floating 2.16133 N N N N N N FREDDIE MAC REMICS 5480 N/A 3137HHUD1 203792.370000 PA USD 204541.960000 0.135319 Long ABS-MBS USGSE US N 2 2054-12-25 Floating 5.02419 N N N N N N N/A N/A 000000000 1.000000 NC 141.480000 0.0000936 N/A DFE IN N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 28224.580000 USD 2555622.820000 INR 2026-01-30 141.480000 N N N N/A N/A 000000000 1.000000 NC USD 36574.580000 0.0241967 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2031-06-30 0.000000 USD 0.000000 USD 2700000.000000 USD 36574.580000 N N N N/A N/A 000000000 1.000000 NC USD -151588.860000 -0.100287 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2030-12-17 0.000000 USD -214787.090000 USD 11550000.000000 USD 63198.230000 N N N GSAMP TRUST 2007-NC1 N/A 3622MGAC2 192427.210000 PA USD 96203.120000 0.0636453 Long ABS-MBS CORP US N 2 2046-12-25 Floating 4.04621 N N N N N N CITIGROUP MTGE LOAN TR INC 2006-FX1 N/A 17309YAC1 290343.580000 PA USD 171114.110000 0.113204 Long ABS-MBS CORP US N 2 2036-10-25 Floating 4.44621 N N N N N N N/A N/A 000000000 2200000.000000 NC USD 9297.640000 0.0061511 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.42050 04/01/26-7Y LCH 2033-04-01 0.000000 USD 0.000000 USD N/A USD N/A 3.420000 USD 2026-03-30 XXXX -2032.830000 N N N N/A N/A 000000000 1.000000 NC -12517.960000 -0.0082815 N/A DFE CO N 2 UBS AG BFM8T61CT2L1QCEMIK50 1566362389.160000 COP 398498.570000 USD 2026-01-22 -12517.960000 N N N N/A N/A 000000000 1.000000 NC -907.680000 -0.0006005 N/A DFE CA N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 67000.000000 CAD 47933.520000 USD 2026-01-14 -907.680000 N N N COUNTRYWIDE ALTERNATIVE LOAN 2005-27 N/A 12667GL84 42834.300000 PA USD 41332.180000 0.0273442 Long ABS-MBS CORP US N 2 2035-08-25 Floating 5.42927 N N N N N N N/A N/A 000000000 1.000000 NC -1986.810000 -0.0013144 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 262996.730000 ILS 80593.000000 USD 2026-01-15 -1986.810000 N N N N/A N/A 000000000 5300000.000000 NC USD 379963.360000 0.251373 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Put Purchased Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.11000 08/25/27-30Y LCH 2057-08-25 0.000000 USD 0.000000 USD N/A USD N/A 4.110000 USD 2027-08-23 XXXX -47746.640000 N N N N/A N/A 000000000 4300000.000000 NC USD 98.040000 0.0000649 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Put Purchased UMBS PASS THRU POOLS FNMA TBA 5.5% FEB 30YR N/A 98.920000 USD 2026-02-05 XXXX -2757.430000 N N N GSR MORTGAGE LOAN TRUST 2004-4 N/A 36228FD45 15666.480000 PA USD 15248.440000 0.0100879 Long ABS-MBS CORP US N 2 2032-04-25 Floating 5.88 N N N N N N RESIDENTIAL ACCREDIT LOANS 2007-QH7 N/A 75115LAA5 23184.210000 PA USD 22629.120000 0.0149708 Long ABS-MBS CORP US N 2 2037-08-25 Floating 4.34621 N N N N N N FREDDIE MAC REMICS 3922 N/A 3137AFHT2 468428.140000 PA USD 459778.150000 0.304176 Long ABS-MBS USGSE US N 2 2041-09-15 Floating 2.13261 N N N N N N N/A N/A 000000000 1.000000 NC 1317.970000 0.0008719 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 6564098.000000 TWD 210311.600000 USD 2026-01-22 1317.970000 N N N CVC CORDATUS LOAN FUND XIV DAC 14A N/A ACI1YKS43 359294.420000 PA 422701.190000 0.279647 Long ABS-CBDO CORP IE N 2 2032-05-22 Floating 2.904 N N N N N N PIMCO FUNDS LWVQWTQCFH3YG7CVH718 000000000 2658.040000 PA USD 25891.920000 0.0171294 Long STIV RF US N 1 N N N N/A N/A 000000000 1.000000 NC -194.710000 -0.0001288 N/A DFE IL N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 385442.810000 ILS 120844.000000 USD 2026-02-19 -194.710000 N N N N/A N/A 000000000 -300000.000000 NC USD -0.030000 0 N/A DIR US N 2 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Call Written UMBS PASS THRU POOLS FNMA TBA 4.0% JAN 30YR N/A 97.380000 USD 2026-01-07 XXXX 820.280000 N N N N/A N/A 000000000 -2200000.000000 NC USD -2306.060000 -0.0015256 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 Put Written GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DCR US N/A SWOP CDX IG45 (V1 ONLY) 5Y SP Single Leg Swap 2030-12-20 0.000000 USD 0.000000 USD N/A USD N/A 0.530000 USD 2026-02-18 XXXX 1076.440000 N N N N/A N/A 000000000 1.000000 NC 3166.260000 0.0020947 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2035-09-17 0.000000 GBP -38151.420000 GBP 1300000.000000 GBP 41317.680000 N N N BANC OF AMERICA FUNDING CORP 2007-D N/A 05952GAT8 26712.960000 PA USD 23053.970000 0.0152519 Long ABS-MBS CORP US N 2 2037-06-20 Floating 4.15413 N N N N N N N/A N/A 000000000 1.000000 NC 408.780000 0.0002704 N/A DFE CO N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 77388758.580000 COP 20307.000000 USD 2026-04-06 408.780000 N N N N/A N/A 000000000 -8.000000 NC USD -1469.230000 -0.000972 N/A DE US N 1 ICE FUTURES US 5493004R83R1LVX2IL36 Short MSCI EAFE INDEX N/A N/A 2026-03-20 -1160840.000000 USD -1469.230000 N N N N/A N/A 000000000 1.000000 NC 4342.840000 0.0028731 N/A DIR GB N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 SONIA O/N Deposit Rates Swap N/A N/A Y 2033-10-20 0.000000 GBP -539.420000 GBP 100000.000000 GBP 4882.260000 N N N N/A N/A 000000000 1.000000 NC 4.390000 0.0000029 N/A DFE CO N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 26768640.000000 COP 6971.000000 USD 2026-02-05 4.390000 N N N N/A N/A 000000000 1.000000 NC 909.390000 0.0006016 N/A DFE CN N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 120194.030000 USD 844000.000000 CNY 2026-01-21 909.390000 N N N FREMONT HOME LOAN TRUST 2005-A N/A 35729PHN3 27847.820000 PA USD 27803.120000 0.0183938 Long ABS-MBS CORP US N 2 2035-01-25 Floating 4.58121 N N N N N N N/A N/A 000000000 200000.000000 NC USD 436.720000 0.0002889 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/2.99500 08/11/26-10Y LCH 2036-08-11 0.000000 USD 0.000000 USD N/A USD N/A 3.000000 USD 2026-08-07 XXXX -1183.280000 N N N N/A N/A 000000000 1.000000 NC 4434.920000 0.002934 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 181152.190000 USD 3358000.000000 MXN 2026-02-23 4434.920000 N N N N/A N/A 000000000 1.000000 NC -1917.030000 -0.0012683 N/A DFE BR N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 500000.000000 BRL 87453.870000 USD 2026-04-02 -1917.030000 N N N N/A N/A 000000000 1.000000 NC -1287.790000 -0.000852 N/A DFE SE N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 600000.000000 SEK 63914.270000 USD 2026-01-14 -1287.790000 N N N SPECIALTY UNDERWRT& RES FIN 2006-BC3 N/A 84751WAD6 120375.490000 PA USD 72452.790000 0.0479327 Long ABS-MBS CORP US N 2 2037-06-25 Floating 4.14621 N N N N N N N/A N/A 000000000 1.000000 NC -799.240000 -0.0005288 N/A DFE IL N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 259000.000000 ILS 80525.620000 USD 2026-01-15 -799.240000 N N N HARBORVIEW MORTGAGE LOAN TRUST 2005-12 N/A 41161PVF7 927805.230000 PA USD 433903.150000 0.287058 Long ABS-MBS CORP US N 2 2035-10-19 Floating 6.02927 N N N N N N N/A N/A 000000000 1.000000 NC -1862.880000 -0.0012324 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2030-04-09 0.000000 EUR -408.330000 EUR 200000.000000 EUR -1454.550000 N N N COUNTRYWIDE ASSET BACKED CERT 2007-QH1 N/A 12669HAA7 269252.080000 PA USD 258243.840000 0.170847 Long ABS-MBS CORP US N 2 2037-02-25 Floating 4.24621 N N N N N N GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-116 N/A 38381PC92 3434397.260000 PA USD 3466711.500000 2.29348 Long ABS-MBS USGSE US N 2 2055-07-20 Floating 5.26765 N N N N N N N/A N/A 000000000 1.000000 NC -2620.150000 -0.0017334 N/A DFE IL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 294896.340000 ILS 89976.000000 USD 2026-01-15 -2620.150000 N N N OCTANE RECEIVABLES TRUST 2023-1A N/A 67571BAA1 219.670000 PA USD 219.870000 0.0001455 Long ABS-O CORP US N 2 2029-05-21 Fixed 5.87 N N N N N N N/A N/A 000000000 1.000000 NC USD 864.920000 0.0005722 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-08 0.000000 USD -268.250000 USD 100000.000000 USD 1133.170000 N N N WASHINGTON MUTUAL MTGE P/T 2007-OA3 N/A 939355AB9 931298.400000 PA USD 884681.700000 0.585281 Long ABS-MBS CORP US N 2 2047-02-25 Floating 4.77927 N N N N N N COUNTRYWIDE ALTERNATIVE LN TR 2005-76 N/A 12668BDC4 159442.680000 PA USD 153882.930000 0.101805 Long ABS-MBS CORP US N 2 2036-01-25 Floating 5.50927 N N N N N N FANNIE MAE 2003-66 N/A 31393C4W0 32782.780000 PA USD 2995.320000 0.0019816 Long ABS-MBS USGSE US N 2 2033-07-25 Floating 3.66133 N N N N N N N/A N/A 000000000 1.000000 NC 1586.840000 0.0010498 N/A DIR MX N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Mexico Interbank TIIE 1 Day Y 2029-03-01 0.000000 MXN 0.000000 MXN 3200000.000000 MXN 1586.840000 N N N N/A N/A 000000000 1.000000 NC -3260.110000 -0.0021568 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 253993.260000 USD 22589652.560000 INR 2026-01-30 -3260.110000 N N N SPECIALTY UNDERWRITING & RESID 2006-AB1 N/A 84751PKW8 303899.000000 PA USD 297320.160000 0.196699 Long ABS-MBS CORP US N 2 2036-12-25 Floating 4.44621 N N N N N N N/A N/A 000000000 1.000000 NC USD -52355.120000 -0.0346367 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-12-17 0.000000 USD -130808.590000 USD 5770000.000000 USD 78453.470000 N N N N/A N/A 000000000 800000.000000 NC USD 3803.760000 0.0025165 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.75800 04/01/26-7Y LCH 2033-04-01 0.000000 USD 0.000000 USD N/A USD N/A 3.760000 USD 2026-03-30 XXXX -2516.240000 N N N FANNIE MAE 2007-4 N/A 31396PMQ1 54509.400000 PA USD 6562.930000 0.0043419 Long ABS-MBS USGSE US N 2 2037-02-25 Floating 3.21133 N N N N N N N/A N/A 000000000 1500000.000000 NC USD 835.500000 0.0005527 N/A DFE US N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 Call Purchased HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-26 N/A 7.800000 USD 2026-08-24 XXXX -1369.500000 N N N FNMA PASS THRU POOLS N/A 3140JCM50 700000.000000 PA USD 705546.940000 0.46677 Long ABS-MBS USGSE US N 2 2029-10-01 Variable 4.20158 N N N N N N N/A N/A 000000000 1.000000 NC -2555.330000 -0.0016905 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2035-04-01 0.000000 EUR -253.670000 EUR 100000.000000 EUR -2301.660000 N N N N/A N/A 000000000 100000.000000 NC USD 532.470000 0.0003523 N/A DIR US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.31700 08/14/26-10Y LCH 2036-08-14 0.000000 USD 0.000000 USD N/A USD N/A 3.320000 USD 2026-08-12 XXXX -672.530000 N N N N/A N/A 000000000 1.000000 NC -38665.580000 -0.0255801 N/A DFE CA N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2094868.820000 CAD 1488437.650000 USD 2026-01-14 -38665.580000 N N N N/A N/A 000000000 1.000000 NC -22.310000 -0.0000148 N/A DFE IN N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 40000.000000 USD 3602715.280000 INR 2026-02-02 -22.310000 N N N ANCHORAGE CREDIT FUNDING 2019-9A LTD N/A 03330HAA5 388504.730000 PA USD 384858.000000 0.254611 Long ABS-CBDO CORP KY N 2 2037-10-25 Fixed 3.793 N N N N N N BEIGNET INVESTOR LLC N/A 076912AA2 640000.000000 PA USD 676741.530000 0.447713 Long DBT CORP US N 2 2049-05-30 Fixed 6.581 N N N N N N N/A N/A 000000000 1.000000 NC 1411.100000 0.0009335 N/A DFE MX N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 61137.010000 USD 1131854.000000 MXN 2026-02-24 1411.100000 N N N N/A N/A 000000000 -200000.000000 NC USD -21.920000 -0.0000145 N/A DIR US N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 Call Written Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.57750 01/14/26-10Y LCH 2036-01-14 0.000000 USD 0.000000 USD N/A USD N/A 3.580000 USD 2026-01-12 XXXX 418.080000 N N N UMBS PASS THRU POOLS N/A 01F042624 2890000.000000 PA USD 2819018.850000 1.86498 Long ABS-MBS USGSE US N 2 2056-02-15 Fixed 4.5 N N N N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308KV8 100000.000000 PA USD 99393.150000 0.0657557 Long DBT CORP US N 2 2055-03-01 Fixed 6.15 N N N N N N N/A N/A 000000000 1.000000 NC USD 2521.770000 0.0016683 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-22 0.000000 USD -272.500000 USD 100000.000000 USD 2794.270000 N N N N/A N/A 000000000 1.000000 NC 3325.920000 0.0022003 N/A DFE MX N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 132986.580000 USD 2466675.000000 MXN 2026-02-24 3325.920000 N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308KK2 300000.000000 PA USD 317011.260000 0.209726 Long DBT CORP US N 2 2053-04-01 Fixed 6.7 N N N N N N N/A N/A 000000000 1.000000 NC 359.330000 0.0002377 N/A DFE TH N 2 Goldman Sachs Bank USA KD3XUN7C6T14HNAYLU02 30975.110000 USD 986272.280000 THB 2026-01-21 359.330000 N N N N/A N/A 000000000 1.000000 NC -45.020000 -0.0000298 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 9696.000000 USD 303471.000000 TWD 2026-02-02 -45.020000 N N N ATHENE GLOBAL FUNDING 549300LM1QSI4MSIL320 04685A4R9 500000.000000 PA USD 504039.690000 0.333459 Long DBT CORP US N 2 2030-07-17 Fixed 5.033 N N N N N N N/A N/A 000000000 1.000000 NC -34838.800000 -0.0230484 N/A DFE ZA N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 11983964.920000 ZAR 687781.000000 USD 2026-01-26 -34838.800000 N N N N/A N/A 000000000 1.000000 NC -1765.440000 -0.001168 N/A DFE CN N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 1255929.210000 CNY 178444.660000 USD 2026-01-21 -1765.440000 N N N N/A N/A 000000000 1.000000 NC -21406.080000 -0.0141617 N/A DFE SG N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 2760471.440000 SGD 2127493.260000 USD 2026-01-14 -21406.080000 N N N GNMA PASS THRU POOLS N/A 21H042620 3280000.000000 PA USD 3193003.120000 2.1124 Long ABS-MBS USGSE US N 2 2056-02-19 Fixed 4.5 N N N N N N JP MORGAN MORTGAGE TRUST 2007-A1 N/A 46630GAC9 6969.050000 PA USD 6752.220000 0.0044671 Long ABS-MBS CORP US N 2 2035-07-25 Floating 5.58556 N N N N N N N/A N/A 000000000 1.000000 NC -10.390000 -0.0000069 N/A DFE TW N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 2262.000000 USD 70801.000000 TWD 2026-02-02 -10.390000 N N N N/A N/A 000000000 -21.000000 NC USD -5588.370000 -0.0036971 N/A DIR US N 2 CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 Put Written CHICAGO BOARD OF TRADE 549300EX04Q2QBFQTQ27 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A N/A FIN FUT US 10YR CBT 03/20/26 2026-03-21 N/A USD N/A 111.000000 USD 2026-02-20 XXXX 5542.890000 N N N N/A N/A 000000000 1.000000 NC 41.810000 0.0000277 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 626707.000000 TWD 20000.000000 USD 2026-01-08 41.810000 N N N N/A N/A 000000000 17700000.000000 NC USD 8023.410000 0.0053081 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.08200 01/06/27-1Y LCH 2028-01-06 0.000000 USD 0.000000 USD N/A USD N/A 4.080000 USD 2027-01-04 XXXX -5251.590000 N N N N/A N/A 000000000 1.000000 NC 1277.390000 0.0008451 N/A DFE PL N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 69192.250000 USD 253000.000000 PLN 2026-01-16 1277.390000 N N N N/A N/A 000000000 1.000000 NC USD -1542.680000 -0.0010206 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-03-21 0.000000 USD -285.000000 USD 100000.000000 USD -1257.680000 N N N N/A N/A 000000000 1.000000 NC -467.630000 -0.0003094 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2034-01-08 0.000000 EUR -366.790000 EUR 100000.000000 EUR -100.840000 N N N N/A N/A 000000000 330000.000000 NC USD 1909.050000 0.001263 N/A DFE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Put Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-02-19 N/A 1419.000000 USD 2026-02-12 XXXX -145.200000 N N N N/A N/A 000000000 1.000000 NC -9978.800000 -0.0066017 N/A DFE AU N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 724285.000000 AUD 473405.710000 USD 2026-01-14 -9978.800000 N N N N/A N/A 000000000 1.000000 NC -83658.080000 -0.0553459 N/A DFE BR N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 9200000.000000 BRL 1560766.400000 USD 2026-04-02 -83658.080000 N N N N/A N/A 000000000 1.000000 NC 434.770000 0.0002876 N/A DFE IL N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 63979.000000 USD 205142.270000 ILS 2026-01-15 434.770000 N N N N/A N/A 000000000 1.000000 NC 2376.220000 0.001572 N/A DFE MX N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 201660.080000 USD 3697000.000000 MXN 2026-03-09 2376.220000 N N N STRUCTURED ADJUSTABLE RT MTG LN 2004-20 N/A 863579HD3 24628.920000 PA USD 24449.210000 0.0161749 Long ABS-MBS CORP US N 2 2035-01-25 Floating 3.89154 N N N N N N N/A N/A 000000000 1.000000 NC -20456.030000 -0.0135331 N/A DFE PL N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 2614000.000000 PLN 707637.450000 USD 2026-01-16 -20456.030000 N N N N/A N/A 000000000 1.000000 NC 14594.780000 0.0096555 N/A DFE JP N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 313900000.000000 JPY 2020031.710000 USD 2026-01-14 14594.780000 N N N FEDERAL HOME LOAN BANK (FHLB) 2549001DPIFGXC1TOL40 313385TN6 500000.000000 PA USD 497266.110000 0.328977 Long DBT USGSE US N 2 2026-02-25 None 0 N N N N N N DEUTSCHE ALT-A SEC INC MTGE LO 2005-1 N/A 251510DG5 34969.910000 PA USD 34635.060000 0.0229136 Long ABS-MBS CORP US N 2 2035-02-25 Floating 4.34621 N N N N N N FANNIE MAE REMICS 2007-70 N/A 31396WRQ1 4199.500000 PA USD 4159.500000 0.0027518 Long ABS-MBS USGSE US N 2 2037-07-25 Floating 4.33867 N N N N N N FIRST FRANKLIN MTG LOAN 2006-FF12 N/A 32027GAE6 134257.680000 PA USD 126617.460000 0.0837666 Long ABS-MBS CORP US N 2 2036-09-25 Floating 4.15621 N N N N N N N/A N/A 000000000 1.000000 NC USD -298.330000 -0.0001974 N/A DCR US N 2 GOLDMAN SACHS INTERNATIONAL W22LROWP2IHZNBB6K528 SOFTBANK GROUP CORP SOFTBANK GROUP CORP SR UNSEC Y Single Leg Swap 2026-06-20 0.000000 USD -850.200000 USD 100000.000000 USD 551.870000 N N N BRAZIL GOVT 254900ZFY40OYEADAP90 ACI2MFC91 17400000.000000 PA 3071629.690000 2.0321 Long DBT NUSS BR N 2 2026-04-01 None 0 N N N N N N STRUCTURED ASSET MTG INV INC 2006-AR3 N/A 86360KAA6 35292.190000 PA USD 32438.170000 0.0214602 Long ABS-MBS CORP US N 2 2036-04-25 Floating 4.26621 N N N N N N N/A N/A 000000000 1900000.000000 NC USD 15690.010000 0.0103801 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Call Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.50500 08/05/26-10Y LCH 2036-08-05 0.000000 USD 0.000000 USD N/A USD N/A 3.500000 USD 2026-08-03 XXXX -22024.990000 N N N PACIFIC GAS AND ELECTRIC COMPANY 1HNPXZSMMB7HMBMVBS46 694308JQ1 100000.000000 PA USD 87204.380000 0.057692 Long DBT CORP US N 2 2040-07-01 Fixed 4.5 N N N N N N N/A N/A 000000000 1.000000 NC -1395.690000 -0.0009233 N/A DFE BR N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 400000.000000 BRL 70101.030000 USD 2026-04-02 -1395.690000 N N N GSR MORTGAGE LOAN TRUST 2005-AR7 N/A 362341XG9 30550.220000 PA USD 26660.890000 0.0176381 Long ABS-MBS CORP US N 2 2035-11-25 Floating 4.12496 N N N N N N N/A N/A 000000000 1.000000 NC -2628.390000 -0.0017389 N/A DFE IN N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 237064.000000 USD 21121335.610000 INR 2026-01-30 -2628.390000 N N N N/A N/A 000000000 1.000000 NC 1616.430000 0.0010694 N/A DFE KR N 2 DEUTSCHE BANK AKTIENGESELLSCHAFT 7LTWFZYICNSX8D621K86 84221.910000 USD 123766623.000000 KRW 2026-01-08 1616.430000 N N N N/A N/A 000000000 2700000.000000 NC USD 1509.300000 0.0009985 N/A DFE US N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 Call Purchased BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A 254900HROIFWPRGM1V77 000000000 0.000000 NC 0.000000 0.000000 DFE US 0.000000 N/A 0.000000 N/A 2026-08-18 N/A 7.800000 USD 2026-08-14 XXXX -2506.000000 N N N N/A N/A 000000000 43.000000 NC -89387.220000 -0.0591361 N/A DIR DE N 1 EUREX DEUTSCHLAND 529900UT4DG0LG5R9O07 Long N/A GERMANY GOVT 2026-03-06 6446571.300000 EUR -89387.220000 N N N MORGAN STANLEY REREMIC TRUST 2011-R2 N/A 61760JAA8 108284.130000 PA USD 47316.530000 0.0313033 Long ABS-MBS CORP US N 2 2037-05-26 Floating 5.25 N N N N N N MORGAN STANLEY ABS CAPITAL I 2007-HE5 N/A 61753KAB2 1791954.020000 PA USD 766731.970000 0.507248 Long ABS-MBS CORP US N 2 2037-03-25 Floating 3.95621 N N N N N N N/A N/A 000000000 1.000000 NC USD 10103.960000 0.0066845 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2029-02-28 0.000000 USD 0.000000 USD 940000.000000 USD 10103.960000 N N N CQS US CLO 2021-1 LTD N/A 12659UAL6 600000.000000 PA USD 600584.040000 0.39733 Long ABS-CBDO CORP KY N 2 2035-01-20 Floating 5.08444 N N N N N N THE BANK OF NOVA SCOTIA L3I9ZG2KFGXZ61BMYR72 06418GAK3 300000.000000 PA USD 312720.390000 0.206887 Long DBT CORP CA N 2 2029-08-01 Fixed 5.45 N N N N N N SYMPHONY CLO XXV LTD 2021-25A N/A 87167WDC6 700000.000000 PA USD 699973.080000 0.463083 Long ABS-CBDO CORP KY N 2 2034-04-19 Floating 4.87446 N N N N N N N/A N/A 000000000 1.000000 NC -605.360000 -0.0004005 N/A DIR N/A N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A Euribor 6 Month ACT/360 Y 2030-04-29 0.000000 EUR -188.000000 EUR 100000.000000 EUR -417.360000 N N N N/A N/A 000000000 1.000000 NC USD 35419.680000 0.0234327 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 US CPI Urban Consumers NSA N/A N/A Y 2051-12-07 43000.000000 USD 0.000000 USD 1000000.000000 USD -7580.320000 N N N N/A N/A 000000000 1000000.000000 NC USD 46631.200000 0.0308499 N/A DIR US N 2 Nomura Holdings, Inc. 549300B3CEAHYG7K8164 Call Purchased Nomura Holdings, Inc. 549300B3CEAHYG7K8164 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.52000 08/15/35-10Y LCH 2045-08-15 0.000000 USD 0.000000 USD N/A USD N/A 4.520000 USD 2035-08-13 XXXX -41368.800000 N N N N/A N/A 000000000 1.000000 NC 98988.400000 0.065488 N/A DCR N/A N 2 BANK OF AMERICA CORPORATION 9DJT3UXIJIZJI4WXO774 N/A ITRAXX EUROPE CROSSOVER SERIES 44 Y Single Leg Swap 2030-12-20 94326.290000 EUR 0.000000 EUR 420000.000000 EUR 4662.110000 N N N ARES STRATEGIC INCOME FUND 549300IANZJVZPTICV54 04020EAL1 400000.000000 PA USD 403637.660000 0.267035 Long DBT CORP US N 2 2028-09-09 Fixed 5.45 N N N N N N N/A N/A 000000000 1.000000 NC -525.230000 -0.0003475 N/A DIR BR N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A Brazil Cetip DI Interbank Deposit Rate Y 2027-01-04 0.000000 BRL 0.000000 BRL 1100000.000000 BRL -525.230000 N N N N/A N/A 000000000 1.000000 NC USD 1375.540000 0.00091 N/A DIR US N 2 LONDON CLEARING HOUSE F226TOH6YD6XJB17KS62 N/A USD-SOFR-COMPOUND Y 2035-01-13 0.000000 USD -546.000000 USD 200000.000000 USD 1921.540000 N N N N/A N/A 000000000 1.000000 NC 22205.510000 0.0146905 N/A DFE GB N 2 SOCIETE GENERALE O2RNE8IBXP4R0TD8PU41 759429.080000 USD 579874.000000 GBP 2026-01-14 22205.510000 N N N N/A N/A 000000000 100000.000000 NC USD 430.170000 0.0002846 N/A DIR US N 2 JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 Call Purchased JPMORGAN CHASE & CO. 8I5DZWZKVSZI1NUHU748 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/3.24500 08/11/26-10Y LCH 2036-08-11 0.000000 USD 0.000000 USD N/A USD N/A 3.250000 USD 2026-08-07 XXXX -869.830000 N N N N/A N/A 000000000 1.000000 NC USD -7510.980000 -0.0049691 N/A DIR US N 2 CHICAGO MERCANTILE EXCHANGE SNZ2OJLFK8MNNCLQOF39 N/A USD-SOFR-COMPOUND Y 2032-09-17 0.000000 USD -8902.460000 USD 850000.000000 USD 1391.480000 N N N N/A N/A 000000000 -6699321.420000 PA USD -6701537.780000 -4.43355 Short RA US N 2 Reverse repurchase N 3.970000 2026-01-06 6770308.810000 USD 6874328.170000 USD AMBS N N N N/A N/A 000000000 1.000000 NC USD 898684.370000 0.594545 N/A DE US N 2 Citibank, National Association E57ODZWZ7FF32TWEFA76 N/A ENHANCED RAFI INTERNATIONAL LARGE STRATEGY (ERAFI INTERNATIONAL LARGE) Y 2026-03-04 0.000000 USD 0.000000 USD 24547553.140000 USD 898684.370000 N N N N/A N/A 000000000 500000.000000 NC USD 29634.800000 0.0196056 N/A DIR US N 2 MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 Put Purchased MORGAN STANLEY CAPITAL SERVICES LLC I7331LVCZKQKX5T7XV54 N/A N/A 000000000 0.000000 NC USD 0.000000 0.000000 DIR US N/A RFR USD SOFR/4.48500 08/09/35-10Y LCH 2045-08-09 0.000000 USD 0.000000 USD N/A USD N/A 4.490000 USD 2035-08-07 XXXX -14415.200000 N N N COUNTRYWIDE HOME LOANS 2004-29 N/A 12669GJB8 6972.590000 PA USD 6597.510000 0.0043647 Long ABS-MBS CORP US N 2 2035-02-25 Floating 4.50621 N N N N N N RESIDENTIAL ACCREDIT LOAN, INC. 2007-QS4 N/A 74923HAL5 92524.430000 PA USD 77406.930000 0.0512103 Long ABS-MBS CORP US N 2 2037-03-25 Fixed 6 N N N N N N N/A N/A 000000000 1.000000 NC 1636.660000 0.0010828 N/A DFE TW N 2 BNP PARIBAS R0MUWSFPU8MPRO8K5P83 1518939.000000 TWD 49998.000000 USD 2026-01-22 1636.660000 N N N N/A N/A 000000000 1.000000 NC 1182.090000 0.000782 N/A DFE ZA N 2 WELLS FARGO & COMPANY PBLD0EJDB5FWOLXP3B76 100457.000000 USD 1685588.090000 ZAR 2026-01-26 1182.090000 N N N GSPA MONETIZATION TRUST N/A 36298GAA7 25841.650000 PA USD 26166.400000 0.017311 Long DBT CORP US N 2 2029-10-09 Fixed 6.422 N N N N N N N/A N/A 000000000 1.000000 NC 1897.340000 0.0012552 N/A DFE N/A N 2 HSBC BANK PLC MP6I5ZYZBEU3UXPYFY54 146241.020000 USD 126000.000000 EUR 2026-01-14 1897.340000 N N N FREDDIE MAC REMICS 5513 N/A 3137HKEX8 405533.960000 PA USD 407268.920000 0.269438 Long ABS-MBS USGSE US N 2 2054-11-25 Floating 4.81419 N N N N N N 2026-02-27 PIMCO Funds /s/ Bijal Parikh Bijal Parikh Treasurer XXXX